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