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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 Dec 30, 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   41 42 42 43 43 43 43 43 43 43 43
Closed Higher   10 15 24 16 20 24 24 20 19 22 22
Exceeded High   6 12 18 13 16 18 19 14 15 14 14
Scenario Percentage   60% 80% 75% 81% 80% 75% 79% 70% 79% 64% 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
2016 Contract Condition   Yes           Yes     Yes  
Action   No           No     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   41 42 42 43 43 43 43 43 43 43 43
Closed Lower   31 27 18 27 22 19 19 23 24 21 21
Penetrated Low   28 17 15 20 17 15 17 21 20 16 13
Scenario Percentage   90% 63% 83% 74% 77% 79% 89% 91% 83% 76% 62%
Avg Max Decline   10.08% 10.36% 9.62% 9.09% 9.95% 9.25% 9.04% 9.18% 9.15% 7.67% 5.73%
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 19 13 17 15 17 17 15 11 9
Avg Max Increase   -3.08% -5.78% -4.37% -2.37% -2.28% -2.75% -4.86% -3.00% -2.90% -3.37% -1.64%
Max Increase   -29.07% -17.80% -13.33% -12.92% -5.69% -9.74% -15.02% -9.96% -10.16% -10.87% -5.25%
Avg Days to Max Increase   8 16 10 5 8 6 10 8 9 7 2
2016 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes   Yes
Action     Yes Yes Yes Yes Yes   No Yes   Yes
High 154.40 149.10 141.50 147.75 130.00 142.85 128.60 130.45 128.25 125.95 136.40 130.00
Low 136.25 137.70 128.80 126.00 120.00 122.00 117.55 119.05 113.35 114.10 113.40 119.05
Close/Last 138.05 141.75 134.15 129.95 126.50 126.30 121.80 128.80 118.50 115.05 127.45 120.85

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