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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 31, 2022
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   13 17 24 18 22 24 24 20 20 20 23
Exceeded High   9 14 19 16 17 19 18 12 16 13 15
Scenario Percentage   69% 82% 79% 89% 77% 79% 75% 60% 80% 65% 65%
Avg Max Increase   14.16% 8.76% 10.10% 14.63% 17.03% 15.06% 14.45% 22.23% 13.28% 15.23% 7.96%
Max Increase   52.27% 18.80% 34.78% 31.13% 49.58% 59.01% 54.25% 64.90% 35.71% 56.93% 44.70%
Avg Days To Max Increase   16 12 14 18 19 15 18 13 18 13 10
Avg Max Decline   -5.33% -4.95% -2.51% -2.47% -1.79% -1.72% -2.79% -1.05% -3.55% -3.44% -1.15%
Max Decline   -19.24% -11.02% -11.57% -11.68% -8.71% -5.48% -10.28% -5.39% -12.36% -10.02% -4.67%
Avg Days to Max Decline   10 11 10 6 7 4 10 3 11 8 3
2021 Contract Condition   Yes Yes Yes     Yes Yes   Yes   Yes
Action   Yes Yes Yes     Yes Yes   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   32 28 21 27 22 21 21 25 25 25 22
Penetrated Low   28 18 17 21 18 18 18 23 21 19 12
Scenario Percentage   88% 64% 81% 78% 82% 86% 86% 92% 84% 76% 55%
Avg Max Decline   10.52% 9.80% 8.56% 8.87% 9.62% 9.21% 8.65% 8.58% 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 16 15 17 17 16 12 9
Avg Max Increase   -3.16% -5.55% -5.15% -2.48% -2.44% -2.55% -5.04% -3.22% -2.87% -3.35% -1.50%
Max Increase   -29.07% -17.80% -13.33% -12.92% -5.69% -9.74% -15.02% -12.36% -10.16% -10.87% -5.25%
Avg Days to Max Increase   9 14 11 6 9 5 11 8 8 9 2
2021 Contract Condition         Yes Yes     Yes   Yes  
Action         Yes Yes     Yes   Not Yet  
High 117.90 108.30 124.35 131.95 136.45 116.95 126.35 130.90 133.75 140.45 139.80 145.80
Low 103.95 100.55 102.15 115.70 111.65 107.45 106.55 118.25 120.85 122.10 120.50 120.55
Close/Last 104.35 106.40 123.90 130.80 114.10 108.60 125.10 130.15 125.00 137.50 123.50 139.95

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