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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 Dec 30, 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   42 43 43 43 43 43 43 43 43 43 43
Closed Higher   24 16 20 24 25 22 19 23 20 18 15
Exceeded High   17 13 16 19 20 16 14 17 15 9 4
Scenario Percentage   71% 81% 80% 79% 80% 73% 74% 74% 75% 50% 27%
Avg Max Increase   10.70% 13.47% 15.78% 14.18% 14.49% 17.88% 14.93% 19.41% 21.20% 22.75% 15.77%
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 12
Avg Max Decline   -2.04% -2.06% -1.51% -1.50% -2.00% -1.37% -2.44% -3.77% -3.20% -2.05% -1.53%
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 3
2016 Contract Condition           Yes     Yes   Yes Yes
Action           No     No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   42 43 43 43 43 43 43 43 43 43 43
Closed Lower   18 27 22 19 18 21 24 20 23 25 28
Penetrated Low   15 18 17 16 16 20 20 17 18 21 21
Scenario Percentage   83% 67% 77% 84% 89% 95% 83% 85% 78% 84% 75%
Avg Max Decline   9.35% 9.42% 9.42% 8.57% 8.60% 9.06% 8.96% 8.84% 14.81% 11.69% 7.42%
Max Decline   21.21% 21.65% 22.76% 18.17% 22.75% 21.57% 17.07% 17.14% 35.43% 28.60% 25.02%
Avg Days To Max Decline   19 12 16 15 16 16 16 21 20 14 11
Avg Max Increase   -4.31% -2.38% -2.04% -2.46% -3.93% -3.24% -2.59% -5.33% -3.99% -3.82% -1.59%
Max Increase   -12.46% -12.35% -5.96% -9.62% -14.70% -9.71% -10.04% -16.15% -10.75% -10.42% -8.26%
Avg Days to Max Increase   10 7 8 6 8 8 9 13 11 9 3
2016 Contract Condition   Yes Yes   Yes   Yes Yes   Yes    
Action   Yes Yes   Yes   Yes Yes   Yes    
High 143.40 149.60 132.40 144.15 130.65 132.30 130.20 127.65 138.20 131.20 135.30 146.05
Low 130.90 128.25 122.00 124.00 119.65 121.15 115.45 116.15 115.35 120.40 118.90 120.85
Close/Last 136.25 132.00 128.30 128.30 123.90 130.75 120.25 117.00 129.55 121.50 121.55 144.10

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