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