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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Coffee "C"(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 41 41 42 42 42 42 42 42 42 42
Closed Higher   9 15 24 16 20 24 23 20 19 21 22
Exceeded High   6 12 18 13 16 18 19 14 15 14 14
Scenario Percentage   67% 80% 75% 81% 80% 75% 83% 70% 79% 67% 64%
Avg Max Increase   15.33% 9.00% 10.42% 14.04% 16.14% 15.53% 15.23% 20.75% 15.19% 16.20% 8.41%
Max Increase   52.27% 18.80% 34.78% 31.13% 49.58% 59.01% 54.25% 64.90% 38.73% 56.93% 44.70%
Avg Days To Max Increase   16 11 15 18 20 15 17 14 17 13 12
Avg Max Decline   -6.76% -4.43% -2.63% -1.99% -1.77% -1.52% -2.31% -0.93% -2.50% -3.07% -1.49%
Max Decline   -19.24% -11.02% -11.57% -11.68% -8.71% -4.56% -10.28% -5.39% -10.29% -10.02% -4.67%
Avg Days to Max Decline   11 11 10 5 7 4 10 5 9 7 3
2015 Contract Condition     Yes Yes               Yes
Action     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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   40 41 41 42 42 42 42 42 42 42 42
Closed Lower   31 26 17 26 21 18 19 22 23 21 20
Penetrated Low   28 16 14 19 16 14 17 21 19 16 12
Scenario Percentage   90% 62% 82% 73% 76% 78% 89% 95% 83% 76% 60%
Avg Max Decline   10.08% 10.35% 9.76% 9.19% 10.13% 9.41% 9.04% 9.18% 9.55% 7.67% 6.06%
Max Decline   25.57% 24.09% 21.08% 22.57% 22.97% 19.21% 23.36% 21.80% 18.44% 16.20% 13.47%
Avg Days To Max Decline   16 21 18 13 17 14 17 17 16 11 10
Avg Max Increase   -3.08% -5.51% -4.68% -1.82% -2.35% -2.44% -4.86% -3.00% -2.99% -3.37% -1.69%
Max Increase   -29.07% -17.80% -13.33% -9.18% -5.69% -9.74% -15.02% -9.96% -10.16% -10.87% -5.25%
Avg Days to Max Increase   8 16 11 5 9 6 10 8 10 7 2
2015 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes Yes  
Action   Yes     No Yes Yes Yes Yes Yes Yes  
High 215.60 192.30 204.30 215.30 215.50 231.00 203.40 193.20 187.40 172.50 146.75 147.35
Low 181.00 175.50 168.60 188.70 183.05 192.60 187.95 166.70 161.50 140.15 128.75 131.95
Close/Last 187.35 183.75 203.45 207.00 199.85 194.80 189.90 169.30 164.65 140.50 132.90 136.55

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