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