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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Coffee "C"(ICE) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 42 42 42 42 42 42 42 42 42 42
Closed Higher   24 16 20 24 24 22 19 22 20 17 14
Exceeded High   17 13 16 19 20 16 14 17 15 8 3
Scenario Percentage   71% 81% 80% 79% 83% 73% 74% 77% 75% 47% 21%
Avg Max Increase   10.70% 13.47% 15.78% 14.18% 14.49% 17.88% 14.93% 19.41% 21.20% 25.59% 18.96%
Max Increase   34.47% 30.79% 52.19% 59.47% 48.77% 63.89% 33.85% 82.60% 115.64% 109.13% 38.87%
Avg Days To Max Increase   16 19 20 15 16 13 19 21 17 10 11
Avg Max Decline   -2.04% -2.06% -1.51% -1.50% -2.00% -1.37% -2.44% -3.77% -3.20% -2.24% -1.09%
Max Decline   -11.20% -11.27% -8.11% -6.12% -9.98% -6.44% -9.36% -12.47% -12.38% -6.90% -3.16%
Avg Days to Max Decline   9 5 6 6 9 6 10 9 8 5 2
2015 Contract Condition   Yes               Yes   Yes
Action   Yes               No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   41 42 42 42 42 42 42 42 42 42 42
Closed Lower   17 26 22 18 18 20 23 20 22 25 28
Penetrated Low   14 17 17 15 16 19 19 17 17 21 21
Scenario Percentage   82% 65% 77% 83% 89% 95% 83% 85% 77% 84% 75%
Avg Max Decline   9.48% 9.58% 9.42% 8.68% 8.60% 9.33% 9.35% 8.84% 15.56% 11.85% 7.64%
Max Decline   21.21% 21.65% 22.76% 18.17% 22.75% 21.57% 17.07% 17.14% 35.43% 31.90% 25.02%
Avg Days To Max Decline   18 12 16 14 16 17 17 21 21 14 11
Avg Max Increase   -4.59% -1.79% -2.04% -2.18% -3.93% -3.09% -2.67% -5.33% -4.16% -4.12% -1.59%
Max Increase   -12.46% -9.49% -5.96% -9.62% -14.70% -9.71% -10.04% -16.15% -10.75% -10.42% -8.26%
Avg Days to Max Increase   11 6 8 6 8 9 10 13 12 9 3
2015 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     No Yes Yes Yes Yes Yes Yes   Yes  
High 204.70 215.35 216.10 232.00 205.45 195.40 189.80 174.80 150.00 149.85 143.85 138.85
Low 170.45 191.05 184.75 194.80 190.20 169.40 164.20 143.15 132.00 134.35 123.55 124.80
Close/Last 203.90 208.05 201.25 197.00 192.15 171.90 167.35 143.50 136.10 137.45 126.15 130.65

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