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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 Aug 18, 2023
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 20 13 19 25 16 21 21 21 22 22
Exceeded High   14 12 9 15 19 15 16 18 15 13 14
Scenario Percentage   70% 60% 69% 79% 76% 94% 76% 86% 71% 59% 64%
Avg Max Increase   15.72% 16.92% 13.92% 9.03% 10.02% 14.87% 18.01% 14.83% 16.68% 22.53% 8.79%
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   17 9 15 13 14 17 16 14 18 12 8
Avg Max Decline   -2.22% -2.17% -3.76% -4.53% -3.09% -2.89% -2.03% -1.88% -3.09% -1.05% -0.78%
Max Decline   -10.69% -9.42% -18.79% -11.71% -11.95% -12.01% -8.79% -5.56% -10.72% -5.78% -2.64%
Avg Days to Max Decline   4 6 10 9 11 6 7 3 11 2 2
2023 Contract Condition     Yes     Yes         Yes Yes
Action     Yes     No         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 25 32 26 20 29 24 24 23 23 23
Penetrated Low   21 21 27 18 16 22 22 20 19 19 15
Scenario Percentage   84% 84% 84% 69% 80% 76% 92% 83% 83% 83% 65%
Avg Max Decline   10.87% 12.49% 11.08% 9.23% 8.26% 10.88% 9.39% 10.20% 9.24% 7.80% 5.12%
Max Decline   33.43% 27.36% 26.33% 19.17% 21.71% 27.52% 24.88% 20.29% 22.16% 22.02% 12.03%
Avg Days To Max Decline   20 20 16 20 19 12 16 17 16 12 9
Avg Max Increase   -3.75% -2.74% -3.79% -5.26% -5.57% -2.79% -3.19% -3.24% -4.45% -2.83% -1.52%
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   11 8 7 11 10 7 10 8 9 9 2
2023 Contract Condition   Yes   Yes Yes   Yes Yes Yes Yes    
Action   Yes   Yes No   Yes Yes Yes Yes    
High 230.90 233.95 231.25 238.60 229.15 236.05 229.45 216.25 178.20 174.95 182.80 199.75
Low 204.25 212.70 201.35 212.55 190.00 198.45 206.00 165.95 154.05 154.55 142.05 171.25
Close/Last 221.40 220.30 229.00 224.15 208.95 228.60 212.55 174.05 169.90 167.30 181.75 190.40

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