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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 06, 2023
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 25 17 22 23 22 22 20 18 23
Exceeded High   8 14 19 15 17 18 16 14 16 11 15
Scenario Percentage   67% 78% 76% 88% 77% 78% 73% 64% 80% 61% 65%
Avg Max Increase   15.16% 8.76% 9.56% 14.06% 16.37% 14.04% 14.42% 20.30% 12.36% 16.57% 8.11%
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 18 13 18 13 11
Avg Max Decline   -3.59% -4.95% -2.86% -2.67% -1.90% -1.65% -2.86% -1.27% -4.32% -3.32% -1.15%
Max Decline   -18.78% -11.02% -11.57% -11.68% -8.71% -5.48% -10.28% -5.53% -12.36% -10.02% -4.67%
Avg Days to Max Decline   9 11 11 6 7 4 10 3 13 8 3
2023 Contract Condition       Yes         Yes Yes   Yes
Action       No         Yes 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 27 20 28 23 22 23 23 25 27 22
Penetrated Low   29 17 16 21 19 19 20 22 21 20 12
Scenario Percentage   88% 63% 80% 75% 83% 86% 87% 96% 84% 74% 55%
Avg Max Decline   10.31% 9.27% 7.87% 9.58% 9.67% 9.56% 8.62% 8.28% 9.14% 7.85% 5.63%
Max Decline   25.57% 18.75% 21.08% 25.48% 22.97% 19.21% 23.36% 21.80% 18.44% 18.02% 11.82%
Avg Days To Max Decline   16 21 19 12 16 15 16 17 16 12 9
Avg Max Increase   -3.08% -5.68% -5.21% -2.49% -2.43% -2.55% -4.67% -3.14% -2.91% -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 10 6 9 6 10 8 8 9 2
2023 Contract Condition   Yes Yes   Yes Yes Yes Yes     Yes  
Action   Yes No   Yes Yes Yes Yes     Not Yet  
High 229.20 236.50 227.00 232.05 225.75 211.40 176.65 174.40 182.65 194.15 186.40 207.45
Low 201.00 211.25 188.45 195.60 202.70 165.00 154.70 155.55 143.00 171.65 166.15 171.25
Close/Last 227.05 222.40 206.15 225.00 207.60 172.95 170.15 166.95 181.70 186.30 170.50 189.85

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