MRCI's ScenarioSM Study

ScenarioSM Study for November Orange Juice(ICE) as of Jan 21, 2022
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		43	43	44	44	45	45	45	45	45	45	45
Closed Higher		12	16	12	24	20	30	19	23	24	20	22
Exceeded High		7	6	10	17	15	20	17	18	20	15	12
Scenario Percentage		58%	38%	83%	71%	75%	67%	89%	78%	83%	75%	55%
Avg Max Increase		12.37%	9.64%	10.00%	10.91%	11.52%	9.11%	9.20%	8.67%	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	15	14	15	17	6	5
Avg Max Decline		-0.90%	-2.23%	-0.90%	-3.53%	-1.05%	-3.24%	-2.20%	-2.23%	-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
2021 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		43	43	44	44	45	45	45	45	45	45	45
Closed Lower		31	27	32	20	25	14	26	21	21	25	23
Penetrated Low		28	20	26	14	20	9	20	15	17	17	6
Scenario Percentage		90%	74%	81%	70%	80%	64%	77%	71%	81%	68%	26%
Avg Max Decline		10.02%	8.47%	7.81%	10.49%	8.11%	9.88%	7.60%	10.27%	11.30%	9.60%	4.60%
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		17	13	18	18	17	22	19	15	18	16	6
Avg Max Increase		-1.98%	-1.63%	-2.77%	-2.42%	-3.23%	-3.72%	-3.55%	-3.12%	-3.06%	-1.98%	-0.97%
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	11	12	14	11	11	10	3	2
2021 Contract Condition		Yes	Yes	Yes	Yes	Yes					Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes					Yes	Yes
High	133.20	133.80	129.80	123.80	127.75	122.15	125.35	134.05	144.30	149.95	145.00	136.40
Low	125.80	126.05	122.00	118.50	118.40	117.50	114.35	121.40	124.10	130.20	131.10	118.00
Close/Last	133.20	129.60	122.15	120.10	119.25	117.85	124.60	125.80	135.70	136.95	132.50	120.35