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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, 2015
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   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 24 22 27 15 20 20 26 20 29 19
Exceeded High   18 18 18 19 11 8 17 20 15 16 13
Scenario Percentage   86% 75% 82% 70% 73% 40% 85% 77% 75% 55% 68%
Avg Max Increase   11.30% 14.58% 8.72% 15.95% 14.96% 12.71% 10.57% 12.04% 12.98% 6.97% 5.04%
Max Increase   41.65% 43.02% 24.27% 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 20 15 19 20 11 7
Avg Max Decline   -3.04% -0.99% -1.02% -2.27% -2.13% -2.46% -1.46% -3.13% -2.05% -3.27% -0.92%
Max Decline   -17.24% -8.20% -6.21% -10.84% -11.07% -8.26% -9.63% -12.66% -11.46% -9.76% -2.77%
Avg Days to Max Decline   13 4 9 12 5 6 6 11 6 9 2
2014 Contract Condition         Yes   Yes Yes Yes Yes    
Action         Yes   Yes Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 20 23 18 30 25 25 19 25 16 26
Penetrated Low   16 14 16 13 26 15 19 15 18 9 9
Scenario Percentage   80% 70% 70% 72% 87% 60% 76% 79% 72% 56% 35%
Avg Max Decline   8.06% 8.02% 8.89% 12.82% 10.15% 9.17% 8.81% 11.21% 10.04% 10.95% 3.62%
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 18 25 21 19 14 20 19 19 15 6
Avg Max Increase   -1.90% -0.76% -4.03% -2.99% -3.14% -1.77% -3.74% -2.56% -4.47% -1.57% -2.43%
Max Increase   -7.36% -3.70% -17.43% -14.46% -12.91% -4.36% -10.86% -11.56% -14.22% -4.14% -10.59%
Avg Days to Max Increase   10 5 21 11 10 4 9 12 10 3 3
2014 Contract Condition   Yes Yes Yes   Yes         Yes Yes
Action   Yes Yes No   No         Yes Yes
High 147.10 146.45 140.90 137.45 144.80 150.40 151.25 149.60 156.95 168.00 164.90 166.00
Low 132.65 132.80 129.85 123.95 125.60 139.75 140.20 141.00 144.45 150.00 153.50 140.35
Close/Last 145.05 138.80 137.85 128.15 144.80 142.15 144.45 145.90 154.20 160.60 159.40 140.80

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