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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Orange Juice(ICE) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   42 42 43 44 45 45 45 45 45 45 45
Closed Higher   12 16 12 24 20 29 18 23 23 21 22
Exceeded High   7 6 10 17 15 19 16 17 20 15 12
Scenario Percentage   58% 38% 83% 71% 75% 66% 89% 74% 87% 71% 55%
Avg Max Increase   12.37% 9.64% 10.00% 10.91% 11.52% 8.76% 8.57% 8.56% 12.46% 13.13% 5.76%
Max Increase   26.07% 15.60% 22.94% 28.65% 34.71% 27.54% 19.25% 21.04% 41.81% 40.93% 15.03%
Avg Days To Max Increase   14 18 18 20 19 14 13 14 17 6 5
Avg Max Decline   -0.90% -2.23% -0.90% -3.53% -1.05% -3.27% -2.25% -2.12% -4.44% -2.59% -0.83%
Max Decline   -8.81% -7.58% -4.71% -13.74% -3.43% -21.28% -7.89% -7.01% -19.84% -10.23% -2.91%
Avg Days to Max Decline   4 6 5 12 7 9 7 7 12 4 1
2020 Contract Condition         Yes   Yes Yes       Yes
Action         Yes   Yes Yes       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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   42 42 43 44 45 45 45 45 45 45 45
Closed Lower   30 26 31 20 25 15 27 21 22 24 23
Penetrated Low   27 19 25 14 20 10 21 15 18 16 5
Scenario Percentage   90% 73% 81% 70% 80% 67% 78% 71% 82% 67% 22%
Avg Max Decline   10.08% 8.76% 8.03% 10.97% 8.85% 10.19% 7.79% 10.27% 10.95% 9.38% 4.63%
Max Decline   24.62% 23.27% 18.47% 33.70% 27.83% 20.94% 13.29% 22.93% 26.83% 21.35% 7.17%
Avg Days To Max Decline   18 14 19 19 18 22 19 15 18 17 7
Avg Max Increase   -2.05% -1.65% -2.63% -2.29% -3.21% -3.50% -3.62% -3.12% -3.25% -1.92% -1.12%
Max Increase   -10.33% -3.68% -8.42% -10.57% -10.50% -20.66% -8.74% -7.83% -8.17% -6.01% -2.49%
Avg Days to Max Increase   8 8 7 10 12 13 11 11 10 3 2
2020 Contract Condition   Yes Yes Yes   Yes     Yes Yes Yes  
Action   Yes Yes Yes   No     Yes Yes Not Yet  
High 114.95 115.50 112.20 111.45 122.20 120.40 127.75 130.90 131.10 126.85 120.75 119.45
Low 112.70 110.40 107.40 102.15 101.20 110.00 115.60 120.80 121.00 114.50 105.30 108.50
Close/Last 113.35 111.20 110.10 104.70 121.60 114.05 124.60 128.90 124.50 116.80 113.70 117.95

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