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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, 2016
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   40 41 41 41 41 42 42 42 42 42 42
Closed Higher   18 17 10 16 24 15 20 22 22 20 21
Exceeded High   13 10 7 13 18 13 16 18 18 13 14
Scenario Percentage   72% 59% 70% 81% 75% 87% 80% 82% 82% 65% 67%
Avg Max Increase   17.29% 19.93% 13.54% 9.30% 10.96% 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 14 15 18 19 13 17 10 8
Avg Max Decline   -2.45% -1.25% -6.55% -3.92% -2.87% -2.27% -2.20% -1.60% -3.03% -0.59% -1.13%
Max Decline   -10.69% -5.79% -19.74% -11.71% -11.95% -12.01% -8.79% -5.10% -15.35% -3.33% -3.67%
Avg Days to Max Decline   4 5 13 9 10 8 7 3 10 2 3
2015 Contract Condition   Yes     Yes Yes            
Action   No     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   40 41 41 41 41 42 42 42 42 42 42
Closed Lower   22 24 31 25 17 27 22 20 19 22 21
Penetrated Low   18 20 27 17 14 20 19 15 16 19 14
Scenario Percentage   82% 83% 87% 68% 82% 74% 86% 75% 84% 86% 67%
Avg Max Decline   13.02% 14.71% 11.33% 10.23% 10.24% 10.52% 9.69% 10.16% 9.98% 8.48% 5.16%
Max Decline   34.94% 35.94% 26.33% 24.16% 21.71% 26.39% 24.88% 20.29% 22.16% 22.02% 12.03%
Avg Days To Max Decline   24 20 16 20 19 13 17 17 17 11 7
Avg Max Increase   -3.99% -2.22% -3.74% -5.15% -5.07% -2.20% -3.21% -3.31% -4.56% -3.21% -1.42%
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 9 8 12 11 6 10 9 9 9 2
2015 Contract Condition     Yes Yes     Yes Yes Yes Yes Yes Yes
Action     Yes Yes     No Yes Yes Yes Yes Yes
High 216.05 224.50 215.10 191.40 202.95 214.25 213.75 229.10 201.35 190.80 184.90 169.75
Low 174.00 179.85 179.55 173.50 166.45 186.80 180.60 190.10 185.40 164.00 158.70 136.45
Close/Last 186.95 212.00 185.95 181.90 201.95 205.10 197.45 192.30 187.45 166.60 161.90 136.75

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