MRCI's ScenarioSM Study

ScenarioSM Study for May Orange Juice(ICE) as of Jan 21, 2022
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		44	45	45	45	45	45	45	45	45	45	45
Closed Higher		19	26	21	21	20	28	13	21	18	28	14
Exceeded High		18	20	15	16	17	21	9	10	15	19	7
Scenario Percentage		95%	77%	71%	76%	85%	75%	69%	48%	83%	68%	50%
Avg Max Increase		6.42%	7.45%	13.46%	15.46%	9.87%	12.80%	13.01%	13.01%	11.58%	7.81%	7.33%
Max Increase		18.06%	18.40%	42.70%	43.51%	23.65%	62.21%	29.47%	21.39%	28.32%	16.91%	16.03%
Avg Days To Max Increase		15	16	17	14	16	14	14	20	14	9	7
Avg Max Decline		-2.11%	-1.37%	-2.79%	-1.13%	-1.30%	-2.18%	-2.43%	-3.17%	-1.77%	-2.56%	0.02%
Max Decline		-10.34%	-7.37%	-17.46%	-8.24%	-7.22%	-6.81%	-10.80%	-10.03%	-8.38%	-12.78%	-1.91%
Avg Days to Max Decline		13	10	15	5	9	11	8	10	3	7	1
2021 Contract Condition			Yes				Yes
Action			No				No

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		44	45	45	45	45	45	45	45	45	45	45
Closed Lower		25	19	23	24	25	17	32	24	27	17	31
Penetrated Low		18	14	20	18	19	14	27	17	20	11	7
Scenario Percentage		72%	74%	87%	75%	76%	82%	84%	71%	74%	65%	23%
Avg Max Decline		7.10%	7.57%	8.57%	8.56%	9.41%	12.49%	11.46%	9.75%	9.70%	10.29%	6.44%
Max Decline		13.35%	19.86%	23.81%	18.33%	21.27%	22.67%	25.94%	24.98%	25.09%	30.88%	19.28%
Avg Days To Max Decline		19	14	19	18	23	18	18	14	17	13	5
Avg Max Increase		-2.02%	-2.22%	-2.48%	-0.91%	-3.78%	-3.44%	-2.64%	-2.55%	-5.65%	-2.40%	-1.43%
Max Increase		-5.15%	-6.17%	-7.32%	-5.20%	-14.90%	-15.84%	-14.42%	-13.27%	-18.55%	-7.71%	-4.87%
Avg Days to Max Increase		13	12	9	5	19	8	8	6	11	9	2
2021 Contract Condition		Yes		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes	No		Yes	Yes	Yes	Yes	Yes
High	131.45	133.45	133.05	132.55	128.20	123.20	128.65	128.00	127.45	116.75	119.60	114.85
Low	121.40	129.00	125.70	123.15	114.30	112.10	117.35	118.40	113.15	109.05	109.45	107.55
Close/Last	130.10	129.40	130.80	124.15	121.60	117.90	128.65	126.00	113.75	111.75	110.60	109.55