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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 Oct 20, 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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   11 17 24 17 22 24 23 21 19 21 23
Exceeded High   7 14 18 15 17 18 18 13 15 14 15
Scenario Percentage   64% 82% 75% 88% 77% 75% 78% 62% 79% 67% 65%
Avg Max Increase   14.02% 8.46% 10.42% 14.68% 15.61% 15.53% 14.97% 21.61% 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% -2.07% -1.79% -1.52% -2.45% -1.03% -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
2019 Contract Condition         Yes Yes     Yes      
Action         Yes No     No      
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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   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   33 28 21 28 22 21 22 24 26 24 22
Penetrated Low   29 18 17 21 18 18 19 22 22 19 12
Scenario Percentage   88% 64% 81% 75% 82% 86% 86% 92% 85% 79% 55%
Avg Max Decline   10.26% 10.63% 9.10% 8.90% 9.83% 9.21% 8.93% 9.04% 9.28% 7.74% 6.05%
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 18 17 16 13 9
Avg Max Increase   -3.00% -5.48% -4.58% -2.42% -2.33% -2.55% -4.82% -2.95% -2.81% -3.35% -1.50%
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 15 10 6 9 5 10 8 8 9 2
2019 Contract Condition   Yes Yes Yes     Yes Yes   Yes Yes Yes
Action   Yes Yes Yes     Yes Yes   Yes Yes Not Yet
High 137.15 136.25 125.20 119.45 109.75 131.70 127.55 113.65 110.20 110.10 100.95 96.95
Low 128.10 123.95 116.50 105.25 101.00 106.85 110.20 101.95 102.50 96.35 92.60 86.35
Close/Last 135.10 124.50 119.00 107.45 108.25 119.00 110.45 104.95 109.00 98.45 94.50 91.85

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