MRCI's ScenarioSM Study

ScenarioSM Study for September Orange Juice(ICE) as of Jan 01, 2019
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		22	24	14	18	16	25	20	27	17	25	25
Exceeded High		18	16	9	8	12	20	15	16	15	17	10
Scenario Percentage		82%	67%	64%	44%	75%	80%	75%	59%	88%	68%	40%
Avg Max Increase		8.77%	10.48%	11.20%	10.38%	10.10%	10.41%	12.14%	10.87%	10.81%	7.43%	6.31%
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		17	14	14	14	16	19	21	18	14	11	7
Avg Max Decline		-0.98%	-1.56%	-1.42%	-1.72%	-1.85%	-3.38%	-1.81%	-4.05%	-2.92%	-2.11%	0.30%
Max Decline		-5.19%	-5.68%	-9.68%	-7.24%	-9.57%	-14.88%	-11.94%	-22.29%	-13.63%	-10.16%	-0.82%
Avg Days to Max Decline		10	11	4	7	4	13	6	12	10	5	1
2018 Contract Condition		Yes	Yes		Yes			Yes	Yes		Yes
Action		Yes	No		No			Yes	No		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	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		18	17	29	26	29	20	24	18	28	20	19
Penetrated Low		13	12	26	18	22	16	18	13	20	12	5
Scenario Percentage		72%	71%	90%	69%	76%	80%	75%	72%	71%	60%	26%
Avg Max Decline		7.96%	11.80%	10.17%	9.40%	8.13%	10.50%	10.19%	9.98%	7.86%	8.83%	5.82%
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	7
Avg Max Increase		-2.19%	-2.65%	-2.54%	-2.03%	-3.58%	-2.22%	-4.19%	-3.46%	-4.16%	-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	12	9	2
2018 Contract Condition				Yes		Yes	Yes			Yes		Yes
Action				No		Yes	No			Yes		Not Yet
High	157.60	161.90	163.80	161.70	153.00	152.50	143.80	155.80	172.20	167.55	172.00	170.00
Low	144.75	153.70	153.50	136.10	137.25	141.50	136.95	138.15	155.35	155.50	160.50	151.60
Close/Last	152.85	155.85	159.60	140.15	151.60	144.65	141.70	155.80	162.25	160.35	167.40	157.85