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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Orange Juice(ICE) as of Oct 06, 2023
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   21 25 22 20 20 28 15 21 17 29 14
Exceeded High   20 19 16 16 17 21 11 9 15 20 7
Scenario Percentage   95% 76% 73% 80% 85% 75% 73% 43% 88% 69% 50%
Avg Max Increase   6.44% 6.87% 13.46% 15.03% 9.71% 12.80% 14.37% 13.88% 11.66% 8.89% 7.33%
Max Increase   18.06% 17.04% 42.70% 43.51% 23.65% 62.21% 29.47% 28.10% 28.32% 27.97% 16.03%
Avg Days To Max Increase   16 15 17 14 15 14 17 21 15 10 7
Avg Max Decline   -2.37% -1.05% -2.99% -1.20% -1.06% -2.18% -2.32% -3.09% -2.40% -2.61% 0.02%
Max Decline   -10.34% -7.10% -17.46% -8.24% -7.22% -6.81% -10.80% -10.03% -10.69% -12.78% -1.91%
Avg Days to Max Decline   13 8 15 6 8 11 8 11 3 6 1
2023 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes Yes  
Action   Yes   Yes Yes Yes   Yes Yes Yes Yes  
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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   23 20 22 25 25 17 30 24 28 16 31
Penetrated Low   17 14 19 19 19 12 25 17 20 11 7
Scenario Percentage   74% 70% 86% 76% 76% 71% 83% 71% 71% 69% 23%
Avg Max Decline   7.05% 7.57% 9.08% 8.75% 8.79% 11.23% 11.65% 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 20 17 22 20 19 14 17 13 5
Avg Max Increase   -1.83% -2.22% -2.43% -1.00% -3.72% -3.69% -2.99% -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 9 8 6 11 9 2
2023 Contract Condition     Yes       Yes         Yes
Action     No       No         Not Yet
High 176.60 170.95 167.80 171.90 178.90 195.00 209.90 206.30 213.95 256.95 272.15 287.90
Low 163.20 161.20 154.10 158.60 161.65 175.00 187.85 189.00 196.20 213.55 226.50 261.50
Close/Last 167.60 169.10 167.80 171.90 178.90 193.60 192.80 199.95 212.45 253.60 269.50 267.55

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