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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 20 20 27 16 17 17 29 17 30 18
Exceeded High   18 16 17 17 11 6 15 22 11 18 12
Scenario Percentage   78% 80% 85% 63% 69% 35% 88% 76% 65% 60% 67%
Avg Max Increase   12.09% 14.43% 9.14% 13.99% 13.10% 13.60% 11.55% 11.29% 12.60% 8.40% 5.35%
Max Increase   41.65% 43.02% 24.27% 62.51% 28.36% 23.78% 31.32% 30.56% 34.97% 24.06% 9.31%
Avg Days To Max Increase   17 15 15 14 14 22 17 19 21 9 7
Avg Max Decline   -2.76% -1.13% -1.09% -1.91% -1.21% -1.66% -2.07% -4.18% -3.11% -3.03% -0.56%
Max Decline   -17.24% -7.60% -6.21% -6.31% -10.29% -8.26% -9.63% -15.50% -10.98% -10.31% -2.77%
Avg Days to Max Decline   14 6 8 10 7 5 6 12 6 8 2
2023 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes  
Action   Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 25 25 18 29 28 28 16 28 15 27
Penetrated Low   18 20 19 11 24 18 21 12 20 8 10
Scenario Percentage   86% 80% 76% 61% 83% 64% 75% 75% 71% 53% 37%
Avg Max Decline   8.66% 7.92% 7.98% 11.64% 11.23% 9.30% 9.22% 12.82% 9.09% 10.30% 3.76%
Max Decline   23.73% 18.33% 19.61% 21.05% 24.38% 23.76% 23.12% 39.88% 31.55% 21.50% 7.62%
Avg Days To Max Decline   18 17 22 23 19 14 19 21 17 14 6
Avg Max Increase   -2.07% -0.79% -3.48% -3.19% -2.82% -1.97% -4.60% -2.73% -4.39% -2.48% -2.28%
Max Increase   -7.36% -3.70% -17.43% -14.46% -12.91% -7.85% -13.42% -11.56% -14.22% -7.11% -10.59%
Avg Days to Max Increase   10 5 19 11 8 7 10 12 9 6 2
2023 Contract Condition         Yes             Yes
Action         No             Not Yet
High 168.65 172.25 179.30 193.30 202.85 203.30 209.20 242.00 258.95 280.75 295.90 286.20
Low 154.95 158.75 162.00 175.35 185.45 187.15 195.80 210.70 218.65 254.00 239.20 253.10
Close/Last 168.65 172.25 179.30 192.60 190.60 195.80 209.20 241.00 257.80 268.55 282.20 271.75

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