MRCI's ScenarioSM Study

ScenarioSM Study for September Orange Juice(ICE) as of Nov 09, 2020
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		41	43	44	45	45	45	45	45	45	45	45
Closed Higher		21	25	14	17	16	27	18	28	17	23	24
Exceeded High		17	16	9	7	12	21	14	17	14	16	10
Scenario Percentage		81%	64%	64%	41%	75%	78%	78%	61%	82%	70%	42%
Avg Max Increase		9.00%	10.44%	11.20%	11.56%	10.10%	10.22%	12.53%	10.29%	10.84%	7.56%	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	15	16	19	21	17	13	10	7
Avg Max Decline		-0.97%	-1.54%	-1.42%	-1.96%	-1.85%	-3.76%	-1.92%	-3.87%	-3.02%	-2.16%	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		8	11	4	7	4	13	6	10	10	5	1
2020 Contract Condition			Yes				Yes		Yes	Yes
Action			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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		41	43	44	45	45	45	45	45	45	45	45
Closed Lower		20	17	29	27	29	18	26	17	28	22	21
Penetrated Low		15	12	26	20	21	14	19	12	21	14	6
Scenario Percentage		75%	71%	90%	74%	72%	78%	73%	71%	75%	64%	29%
Avg Max Decline		7.64%	11.80%	10.04%	9.06%	8.77%	11.58%	9.97%	10.52%	8.01%	8.95%	5.30%
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	18	14	22	20	19	22	17	11	6
Avg Max Increase		-2.27%	-2.65%	-2.45%	-1.97%	-4.03%	-2.59%	-4.01%	-3.78%	-4.10%	-2.69%	-1.11%
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		14	12	8	7	10	13	11	12	11	8	2
2020 Contract Condition		Yes		Yes	Yes	Yes		Yes			Yes	Yes
Action		Yes		Yes	Yes	No		No			Yes	Yes
High	118.95	116.20	111.95	112.45	109.45	108.40	121.50	120.10	128.65	132.00	130.90	124.15
Low	110.40	109.20	109.30	107.00	104.45	98.50	99.30	107.10	112.85	118.15	118.75	111.10
Close/Last	113.90	109.90	110.25	108.40	106.60	101.80	120.80	112.45	123.50	128.40	121.75	113.80