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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 Oct 20, 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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 17 22 24 24 23 19 23 21 20 16
Exceeded High   17 15 17 19 19 15 14 17 16 10 5
Scenario Percentage   71% 88% 77% 79% 79% 65% 74% 74% 76% 50% 31%
Avg Max Increase   10.70% 14.14% 15.26% 14.18% 14.10% 18.50% 14.93% 19.41% 20.04% 23.87% 13.51%
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 11
Avg Max Decline   -2.04% -2.12% -1.54% -1.50% -2.11% -1.47% -2.44% -3.77% -3.04% -2.86% -1.87%
Max Decline   -11.20% -11.27% -8.11% -6.12% -9.98% -6.44% -9.36% -12.47% -12.38% -10.13% -3.23%
Avg Days to Max Decline   9 5 6 6 9 6 10 9 8 6 4
2019 Contract Condition     Yes Yes     Yes       Yes Yes
Action     Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 28 22 21 21 22 26 22 24 25 29
Penetrated Low   17 19 18 19 18 21 22 19 19 21 21
Scenario Percentage   81% 68% 82% 90% 86% 95% 85% 86% 79% 84% 72%
Avg Max Decline   8.86% 9.19% 9.33% 8.60% 8.52% 8.93% 9.11% 8.69% 14.64% 11.94% 7.68%
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   19 13 16 15 17 17 16 19 19 15 11
Avg Max Increase   -4.50% -2.43% -2.09% -2.31% -3.95% -3.17% -2.59% -5.09% -3.77% -4.01% -1.58%
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 9 5 9 8 8 14 10 9 4
2019 Contract Condition   Yes     Yes Yes   Yes Yes Yes    
Action   Yes     Yes Yes   Yes Yes Yes    
High 127.50 121.75 112.05 134.05 130.00 116.30 112.85 112.85 103.60 99.40 105.30 109.00
Low 118.90 107.65 103.35 109.25 112.85 104.75 105.35 99.20 95.30 89.00 87.60 94.00
Close/Last 121.40 109.75 110.60 121.40 113.15 107.80 111.75 101.15 97.05 93.15 104.60 108.25

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