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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 Sep 16, 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   12 18 24 17 22 24 23 21 19 19 23
Exceeded High   8 14 19 15 17 19 17 13 15 12 15
Scenario Percentage   67% 78% 79% 88% 77% 79% 74% 62% 79% 63% 65%
Avg Max Increase   15.16% 8.76% 9.56% 14.06% 16.37% 14.36% 14.11% 21.34% 12.43% 15.72% 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 17 18 15 17 13 18 13 10
Avg Max Decline   -3.59% -4.95% -2.86% -2.67% -1.90% -1.79% -2.59% -0.94% -3.88% -3.46% -1.15%
Max Decline   -18.78% -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   9 11 11 6 7 4 10 3 12 8 3
2022 Contract Condition     Yes Yes   Yes Yes   Yes      
Action     No 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   33 27 21 28 22 21 22 24 26 26 22
Penetrated Low   29 18 17 21 18 18 19 23 22 20 12
Scenario Percentage   88% 67% 81% 75% 82% 86% 86% 96% 85% 77% 55%
Avg Max Decline   10.41% 9.80% 8.56% 8.87% 9.62% 9.21% 8.31% 8.58% 9.15% 7.76% 5.46%
Max Decline   25.57% 18.75% 21.08% 22.57% 22.97% 19.21% 23.36% 21.80% 18.44% 16.20% 10.66%
Avg Days To Max Decline   16 21 19 13 16 15 16 17 16 12 9
Avg Max Increase   -3.14% -5.55% -5.15% -2.48% -2.44% -2.55% -4.79% -3.22% -2.86% -3.43% -1.51%
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   8 14 11 6 9 5 10 8 7 9 2
2022 Contract Condition   Yes     Yes     Yes   Yes Yes Yes
Action   Yes     No     Yes   Yes Yes Yes
High 171.00 174.60 219.75 204.85 203.40 218.75 247.50 251.35 245.00 260.45 239.15 237.75
Low 146.75 156.25 154.65 178.10 186.10 195.45 202.30 223.20 220.70 232.40 210.15 214.65
Close/Last 170.25 166.55 185.65 199.45 197.90 207.20 231.65 226.00 235.50 232.90 226.40 222.55

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