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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Orange Juice(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 25 23 26 16 19 19 25 19 29 20
Exceeded High   18 19 19 18 12 7 16 19 15 16 13
Scenario Percentage   86% 76% 83% 69% 75% 37% 84% 76% 79% 55% 65%
Avg Max Increase   11.30% 14.87% 10.59% 16.59% 13.95% 13.28% 10.28% 12.20% 12.98% 6.97% 5.04%
Max Increase   41.65% 43.02% 44.17% 62.51% 28.36% 18.19% 31.32% 30.56% 34.97% 15.09% 9.31%
Avg Days To Max Increase   18 16 18 15 11 21 15 18 20 11 7
Avg Max Decline   -3.04% -0.89% -1.31% -2.20% -2.32% -2.47% -1.48% -3.15% -2.05% -3.27% -0.92%
Max Decline   -17.24% -8.20% -6.67% -10.84% -11.07% -8.26% -9.63% -12.66% -11.46% -9.76% -2.77%
Avg Days to Max Decline   13 4 11 11 5 6 7 11 6 9 2
2013 Contract Condition   Yes     Yes     Yes Yes Yes Yes  
Action   Yes     Yes     Yes Yes Yes Not Yet  
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   40 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 19 22 19 29 26 26 20 26 16 25
Penetrated Low   15 13 16 14 26 16 20 16 19 9 8
Scenario Percentage   79% 68% 73% 74% 90% 62% 77% 80% 73% 56% 32%
Avg Max Decline   7.89% 7.86% 8.89% 12.33% 10.15% 9.84% 9.01% 11.34% 10.01% 10.02% 3.96%
Max Decline   23.73% 18.33% 19.61% 21.05% 24.38% 23.13% 23.12% 39.88% 31.55% 21.50% 7.62%
Avg Days To Max Decline   16 17 25 19 19 14 19 19 18 16 7
Avg Max Increase   -1.93% -0.84% -4.03% -2.69% -3.14% -1.83% -3.66% -2.52% -4.32% -1.97% -2.49%
Max Increase   -7.36% -3.70% -17.43% -14.46% -12.91% -4.36% -10.86% -11.56% -14.22% -7.73% -10.59%
Avg Days to Max Increase   10 5 21 10 10 5 9 12 11 3 3
2013 Contract Condition     Yes Yes   Yes Yes         Yes
Action     Yes No   Yes No         Not Yet
High 126.25 127.90 133.45 121.30 131.75 143.35 123.40 132.85 138.85 153.00 155.75 154.20
Low 111.45 111.60 118.50 111.50 112.50 121.00 112.20 120.85 120.90 130.85 135.90 124.30
Close/Last 113.55 124.10 119.05 113.15 126.70 121.30 121.00 127.95 134.95 140.40 151.35 129.90

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