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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Orange Juice(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 42 44 45 45 45 45 45 45 45 45
Closed Higher   21 24 14 17 17 26 19 27 17 25 25
Exceeded High   17 17 9 8 13 20 14 17 15 17 11
Scenario Percentage   81% 71% 64% 47% 76% 77% 74% 63% 88% 68% 44%
Avg Max Increase   8.99% 10.26% 11.20% 10.38% 9.72% 10.41% 12.25% 11.30% 10.81% 7.57% 6.32%
Max Increase   25.83% 31.05% 27.04% 17.51% 28.55% 29.71% 34.95% 28.29% 21.34% 22.84% 15.65%
Avg Days To Max Increase   16 14 14 14 17 19 20 19 14 10 7
Avg Max Decline   -0.95% -1.50% -1.42% -1.72% -1.95% -3.38% -1.92% -4.21% -2.92% -2.11% 0.12%
Max Decline   -5.19% -5.68% -9.68% -7.24% -9.57% -14.88% -11.94% -22.29% -13.63% -10.16% -1.67%
Avg Days to Max Decline   11 11 4 7 5 13 6 12 10 5 1
2017 Contract Condition   Yes Yes         Yes       Yes
Action   Yes No         No       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   40 42 44 45 45 45 45 45 45 45 45
Closed Lower   19 17 29 27 28 19 25 18 28 20 19
Penetrated Low   13 12 27 18 21 16 18 13 19 12 5
Scenario Percentage   68% 71% 93% 67% 75% 84% 72% 72% 68% 60% 26%
Avg Max Decline   7.96% 11.80% 10.05% 9.40% 8.26% 10.50% 10.19% 9.98% 7.99% 8.83% 5.83%
Max Decline   17.23% 19.76% 24.45% 23.27% 21.94% 37.36% 29.35% 21.93% 12.67% 15.53% 9.72%
Avg Days To Max Decline   22 20 19 14 20 18 20 21 17 12 8
Avg Max Increase   -2.19% -2.65% -2.70% -2.03% -3.78% -2.22% -4.19% -3.46% -4.00% -2.97% -1.18%
Max Increase   -6.39% -13.40% -12.46% -5.56% -11.67% -11.00% -12.38% -21.66% -10.04% -10.37% -3.44%
Avg Days to Max Increase   13 12 10 8 10 12 12 11 11 9 2
2017 Contract Condition       Yes Yes Yes Yes   Yes Yes Yes  
Action       Yes Yes Yes Yes   Yes Yes Not Yet  
High 194.35 201.50 209.50 207.50 189.65 169.65 174.70 159.15 158.00 142.45 141.15 144.65
Low 179.30 178.80 198.00 182.80 158.00 153.40 148.40 146.35 132.00 126.70 124.95 128.50
Close/Last 193.55 201.25 206.60 188.30 165.50 158.15 152.00 156.30 132.75 132.55 131.65 137.65

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