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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 Jun 08, 2020
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 20 13 18 24 17 22 22 23 21 22
Exceeded High   14 12 9 15 18 16 17 19 17 12 15
Scenario Percentage   70% 60% 69% 83% 75% 94% 77% 86% 74% 57% 68%
Avg Max Increase   16.22% 19.29% 11.83% 8.77% 10.96% 15.21% 19.35% 16.56% 17.27% 23.38% 8.72%
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 10 13 14 15 18 18 14 18 10 8
Avg Max Decline   -2.31% -1.86% -5.49% -4.05% -2.87% -2.71% -2.19% -1.56% -3.20% -0.66% -0.90%
Max Decline   -10.69% -9.33% -19.74% -11.71% -11.95% -12.01% -8.79% -5.10% -15.35% -3.33% -3.67%
Avg Days to Max Decline   4 6 11 9 10 8 6 3 10 2 2
2020 Contract Condition     Yes Yes     Yes Yes Yes Yes   Yes
Action     Yes Yes     Yes Yes Yes No   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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 25 32 27 21 28 23 23 21 24 23
Penetrated Low   20 21 27 19 17 22 21 19 17 20 15
Scenario Percentage   83% 84% 84% 70% 81% 79% 91% 83% 81% 83% 65%
Avg Max Decline   12.18% 14.03% 11.07% 9.76% 8.99% 10.13% 9.49% 9.87% 9.30% 8.01% 4.93%
Max Decline   34.94% 35.94% 26.33% 19.34% 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 17 12 8
Avg Max Increase   -3.66% -2.44% -3.69% -5.19% -5.50% -2.76% -3.12% -3.25% -4.81% -2.94% -1.47%
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 11 11 7 11 7 10 9 2
2020 Contract Condition   Yes     Yes Yes         Yes  
Action   Yes     Yes Yes         Yes  
High 113.65 109.45 114.65 117.60 122.85 106.05 108.45 106.50 119.80 142.45 130.95 111.50
Low 105.85 99.45 97.35 103.45 105.50 97.00 97.65 95.80 104.65 117.95 100.15 97.40
Close/Last 107.40 102.50 114.10 116.60 107.05 100.30 104.70 105.45 119.05 129.70 102.65 110.10

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