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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 Oct 20, 2019
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 19 12 18 24 16 22 22 22 21 21
Exceeded High   14 11 8 15 18 15 17 18 17 12 14
Scenario Percentage   70% 58% 67% 83% 75% 94% 77% 82% 77% 57% 67%
Avg Max Increase   16.22% 20.34% 12.64% 8.77% 10.96% 15.26% 17.88% 16.39% 17.27% 23.38% 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   18 11 15 14 15 17 18 13 18 10 8
Avg Max Decline   -2.31% -1.18% -6.14% -4.05% -2.87% -2.32% -2.20% -1.60% -3.20% -0.66% -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 4 12 9 10 7 6 3 10 2 3
2019 Contract Condition   Yes Yes       Yes Yes     Yes  
Action   Yes No       Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 26 33 27 21 29 23 23 22 24 24
Penetrated Low   20 22 28 19 17 22 21 19 18 20 16
Scenario Percentage   83% 85% 85% 70% 81% 76% 91% 83% 82% 83% 67%
Avg Max Decline   12.51% 14.21% 11.49% 10.54% 9.53% 10.13% 9.49% 9.87% 9.75% 8.28% 4.75%
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   22 21 16 20 19 13 17 18 18 12 8
Avg Max Increase   -3.77% -2.42% -3.63% -5.18% -4.94% -2.76% -3.12% -3.25% -4.57% -3.15% -1.29%
Max Increase   -18.45% -8.57% -33.47% -18.81% -13.72% -13.26% -14.35% -11.69% -15.45% -9.70% -5.10%
Avg Days to Max Increase   12 8 8 12 10 7 11 7 10 9 2
2019 Contract Condition       Yes Yes Yes     Yes Yes   Yes
Action       Yes Yes Yes     Yes Yes   Yes
High 134.60 132.00 134.90 134.00 122.80 117.10 107.45 129.20 125.00 110.85 107.15 107.00
Low 127.95 124.60 125.75 121.55 114.05 102.75 98.55 104.50 107.25 98.60 99.35 93.55
Close/Last 129.20 131.80 132.85 122.10 116.60 105.10 105.85 116.45 107.55 101.85 105.90 95.20

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