MRCI's ScenarioSM Study

ScenarioSM Study for March Coffee "C"(ICE) as of Dec 31, 2021
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		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		20	19	14	18	24	17	22	22	23	20	22
Exceeded High		14	11	10	15	19	16	17	19	17	11	15
Scenario Percentage		70%	58%	71%	83%	79%	94%	77%	86%	74%	55%	68%
Avg Max Increase		16.22%	16.74%	13.08%	9.03%	10.62%	15.21%	19.35%	15.80%	16.63%	24.74%	8.94%
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	9	15	13	14	18	18	13	19	11	9
Avg Max Decline		-2.31%	-1.65%	-5.36%	-4.53%	-2.74%	-2.71%	-2.19%	-1.79%	-3.58%	-0.74%	-0.97%
Max Decline		-10.69%	-9.33%	-19.74%	-11.71%	-11.95%	-12.01%	-8.79%	-5.56%	-15.35%	-3.33%	-3.67%
Avg Days to Max Decline		4	3	11	9	10	8	6	3	10	2	3
2021 Contract Condition				Yes	Yes	Yes			Yes	Yes		Yes
Action				Yes	Yes	Yes			Yes	Yes		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		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		25	26	31	27	21	28	23	23	21	25	23
Penetrated Low		21	22	26	19	17	22	21	19	17	20	15
Scenario Percentage		84%	85%	84%	70%	81%	79%	91%	83%	81%	80%	65%
Avg Max Decline		12.13%	13.56%	11.36%	9.76%	8.99%	10.12%	9.28%	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		21	20	16	20	19	12	16	18	17	12	8
Avg Max Increase		-3.75%	-2.51%	-3.85%	-5.19%	-5.50%	-2.81%	-3.22%	-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
2021 Contract Condition		Yes	Yes				Yes	Yes			Yes
Action		Yes	Yes				Yes	Yes			Not Yet
High	130.50	125.80	117.35	107.20	123.60	130.95	135.65	115.60	124.80	129.00	131.75	139.30
Low	109.25	109.00	102.35	99.05	101.00	114.55	110.20	105.70	104.85	116.45	118.75	120.20
Close/Last	123.40	111.30	102.80	105.35	123.15	129.80	112.70	106.85	123.30	128.25	122.95	136.85