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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Coffee "C"(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 40 40 40 40 41 41 41 41 41 41
Closed Higher   17 17 10 15 23 15 20 22 22 20 21
Exceeded High   13 10 7 12 17 13 16 18 18 13 14
Scenario Percentage   76% 59% 70% 80% 74% 87% 80% 82% 82% 65% 67%
Avg Max Increase   17.29% 19.93% 13.54% 9.57% 10.91% 14.69% 18.55% 16.39% 17.29% 22.27% 8.63%
Max Increase   74.84% 103.42% 53.36% 18.58% 35.59% 32.17% 54.63% 63.74% 64.24% 65.77% 19.49%
Avg Days To Max Increase   19 10 15 15 15 18 19 13 17 10 8
Avg Max Decline   -2.45% -1.25% -6.55% -4.12% -2.33% -2.27% -2.20% -1.60% -3.03% -0.59% -1.13%
Max Decline   -10.69% -5.79% -19.74% -11.71% -5.64% -12.01% -8.79% -5.10% -15.35% -3.33% -3.67%
Avg Days to Max Decline   4 5 13 10 10 8 7 3 10 2 3
2014 Contract Condition                 Yes   Yes Yes
Action                 Yes   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 40 40 40 40 41 41 41 41 41 41
Closed Lower   22 23 30 25 17 26 21 19 18 21 20
Penetrated Low   18 19 26 17 14 20 18 14 15 18 13
Scenario Percentage   82% 83% 87% 68% 82% 77% 86% 74% 83% 86% 65%
Avg Max Decline   13.02% 14.93% 11.44% 10.23% 10.24% 10.52% 9.41% 9.79% 9.44% 7.73% 4.97%
Max Decline   34.94% 35.94% 26.33% 24.16% 21.71% 26.39% 24.88% 20.29% 22.16% 18.86% 12.03%
Avg Days To Max Decline   24 21 16 20 19 13 17 16 16 12 8
Avg Max Increase   -3.99% -2.18% -3.86% -5.15% -5.07% -2.20% -3.13% -3.42% -4.14% -3.12% -1.43%
Max Increase   -18.45% -5.76% -33.47% -18.81% -13.72% -10.48% -14.35% -11.69% -15.45% -9.70% -5.10%
Avg Days to Max Increase   13 8 8 12 11 6 10 9 9 10 2
2014 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes    
Action   Yes Yes Yes Yes Yes Yes Yes   No    
High 159.65 153.45 157.20 138.50 138.00 129.70 124.00 121.05 112.00 118.40 125.95 180.35
Low 145.50 142.00 134.00 123.70 123.15 119.10 116.65 108.40 104.15 105.65 110.20 125.00
Close/Last 149.95 144.30 136.05 126.30 124.15 119.25 116.85 108.55 110.85 110.70 125.20 179.80

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