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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, 2019
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   43 44 44 45 45 45 45 45 45 45 45
Closed Higher   11 17 24 17 21 24 24 21 19 22 23
Exceeded High   7 14 18 14 17 18 19 14 15 14 15
Scenario Percentage   64% 82% 75% 82% 81% 75% 79% 67% 79% 64% 65%
Avg Max Increase   14.02% 8.46% 10.42% 14.18% 15.61% 15.53% 15.23% 20.75% 15.19% 16.37% 8.12%
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 12 15 17 19 15 17 14 17 13 11
Avg Max Decline   -6.23% -4.47% -2.63% -2.13% -1.79% -1.52% -2.31% -0.93% -2.50% -3.07% -1.28%
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   10 11 10 5 7 4 10 5 9 7 3
2018 Contract Condition     Yes                 Yes
Action     Yes                 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 44 44 45 45 45 45 45 45 45 45
Closed Lower   32 27 20 28 23 21 21 24 26 23 22
Penetrated Low   28 17 16 21 18 17 18 22 22 18 13
Scenario Percentage   88% 63% 80% 75% 78% 81% 86% 92% 85% 78% 59%
Avg Max Decline   10.08% 10.36% 9.30% 8.90% 9.83% 9.29% 8.97% 9.04% 9.16% 7.69% 5.89%
Max Decline   25.57% 24.09% 21.08% 22.57% 22.97% 19.21% 23.36% 21.80% 18.44% 18.02% 13.47%
Avg Days To Max Decline   16 21 19 13 17 15 17 17 16 12 10
Avg Max Increase   -3.08% -5.78% -4.73% -2.42% -2.33% -2.53% -4.81% -2.95% -2.84% -3.39% -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 6 9 5 9 8 9 9 2
2018 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes Yes  
Action   No   Yes Yes Yes Yes Yes Yes Yes Yes  
High 148.90 141.45 148.65 152.95 148.85 138.60 135.20 132.45 133.50 126.50 124.20 120.80
Low 138.75 125.05 135.10 132.70 132.65 129.05 127.10 120.55 122.10 118.55 116.50 113.05
Close/Last 140.85 135.10 148.55 135.20 134.00 130.95 130.65 128.55 124.20 122.00 118.15 120.65

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