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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, 2019
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 17 21 24 25 23 19 23 21 19 15
Exceeded High   17 14 17 19 20 16 14 17 16 9 4
Scenario Percentage   71% 82% 81% 79% 80% 70% 74% 74% 76% 47% 27%
Avg Max Increase   10.70% 13.63% 15.26% 14.18% 14.49% 17.88% 14.93% 19.41% 20.04% 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 18 19 15 16 13 19 21 16 10 12
Avg Max Decline   -2.04% -2.19% -1.54% -1.50% -2.00% -1.37% -2.44% -3.77% -3.04% -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
2018 Contract Condition                   Yes Yes  
Action                   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 28 23 21 20 22 26 22 24 26 30
Penetrated Low   16 19 18 18 17 21 22 19 19 22 22
Scenario Percentage   80% 68% 78% 86% 85% 95% 85% 86% 79% 85% 73%
Avg Max Decline   9.05% 9.19% 9.33% 8.66% 8.55% 8.93% 8.98% 8.66% 14.84% 11.74% 7.36%
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 13 16 15 17 17 16 21 20 14 11
Avg Max Increase   -4.65% -2.43% -2.09% -2.28% -3.91% -3.17% -2.55% -5.00% -3.95% -3.67% -1.55%
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   11 7 9 5 8 8 9 13 11 8 4
2018 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes     Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes     Yes
High 150.70 155.00 151.05 140.90 137.25 134.60 135.75 128.70 126.20 123.05 125.95 124.95
Low 137.50 135.00 135.00 131.40 129.45 122.85 124.50 120.75 118.70 115.30 116.35 111.50
Close/Last 150.60 137.55 136.25 133.35 132.90 130.95 126.55 124.10 120.20 122.80 123.70 111.50

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