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