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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 Nov 09, 2020
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   12 17 24 18 22 24 24 21 20 21 23
Exceeded High   8 14 18 16 17 19 18 13 16 14 15
Scenario Percentage   67% 82% 75% 89% 77% 79% 75% 62% 80% 67% 65%
Avg Max Increase   12.92% 8.46% 10.42% 14.63% 17.03% 15.72% 14.97% 21.61% 15.33% 16.20% 7.97%
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   15 12 15 18 19 15 17 14 18 13 11
Avg Max Decline   -5.49% -4.47% -2.63% -2.47% -1.79% -1.49% -2.45% -1.03% -2.90% -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   9 11 10 6 7 4 10 5 9 7 3
2020 Contract Condition   Yes     Yes Yes Yes Yes   Yes Yes  
Action   Yes     Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   33 28 21 27 22 21 21 24 25 24 22
Penetrated Low   29 18 17 21 18 18 18 22 21 19 12
Scenario Percentage   88% 64% 81% 78% 82% 86% 86% 92% 84% 79% 55%
Avg Max Decline   10.26% 9.80% 8.56% 8.90% 9.83% 9.21% 8.65% 8.81% 9.12% 7.65% 5.89%
Max Decline   25.57% 18.75% 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 16 16 12 9
Avg Max Increase   -3.00% -5.55% -5.15% -2.42% -2.33% -2.55% -5.04% -2.80% -2.87% -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 14 11 6 9 5 11 7 8 9 2
2020 Contract Condition     Yes Yes         Yes     Yes
Action     Yes Yes         Yes     Not Yet
High 116.55 119.65 124.90 108.30 110.75 108.75 121.95 144.45 133.10 113.80 130.65 122.00
Low 99.75 105.60 107.85 99.40 99.90 98.05 106.85 120.10 102.35 99.55 101.40 102.65
Close/Last 116.05 118.65 109.40 102.55 107.00 107.55 121.25 131.90 104.90 111.35 119.55 104.65

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