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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 06, 2023
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   25 17 22 23 23 24 20 20 21 19 16
Exceeded High   18 15 17 19 17 16 15 13 15 9 6
Scenario Percentage   72% 88% 77% 83% 74% 67% 75% 65% 71% 47% 38%
Avg Max Increase   9.80% 13.39% 15.86% 12.75% 13.46% 17.51% 11.94% 20.72% 19.42% 18.84% 11.75%
Max Increase   34.47% 30.79% 52.19% 59.47% 48.77% 63.89% 27.25% 82.60% 115.64% 109.13% 38.87%
Avg Days To Max Increase   15 18 18 15 17 12 20 20 16 6 9
Avg Max Decline   -2.30% -2.69% -1.66% -1.53% -2.49% -1.66% -4.35% -3.65% -3.08% -2.69% -1.23%
Max Decline   -11.20% -11.27% -8.11% -5.41% -9.98% -6.44% -12.06% -12.47% -12.38% -10.13% -3.23%
Avg Days to Max Decline   10 6 7 6 10 4 15 10 8 3 4
2023 Contract Condition   Yes         Yes Yes   Yes    
Action   No         Yes Yes   No    
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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   20 28 22 22 22 21 25 25 24 26 29
Penetrated Low   16 19 19 20 19 21 21 21 20 22 20
Scenario Percentage   80% 68% 86% 91% 86% 100% 84% 84% 83% 85% 69%
Avg Max Decline   7.63% 9.73% 9.18% 8.94% 8.21% 8.06% 8.95% 8.48% 13.22% 10.79% 7.10%
Max Decline   21.21% 23.96% 22.76% 18.17% 22.75% 21.57% 17.07% 17.14% 32.59% 24.85% 25.02%
Avg Days To Max Decline   19 12 15 15 15 17 17 18 19 14 12
Avg Max Increase   -5.05% -2.55% -2.15% -2.31% -3.88% -3.39% -2.68% -4.91% -3.77% -4.10% -1.87%
Max Increase   -12.46% -12.35% -5.96% -9.62% -14.70% -12.01% -10.04% -16.15% -10.75% -10.42% -8.26%
Avg Days to Max Increase   10 7 9 5 9 9 8 13 9 8 4
2023 Contract Condition     Yes Yes Yes Yes     Yes   Yes Yes
Action     Yes Yes Yes Yes     No   Yes Yes
High 224.90 228.65 222.50 208.25 175.45 174.10 181.85 192.40 185.05 204.90 194.40 196.60
Low 187.25 194.55 200.20 164.40 155.20 156.05 143.75 171.50 165.55 170.25 175.55 161.00
Close/Last 204.25 221.90 204.10 172.10 170.00 166.60 180.95 184.90 169.70 185.95 178.65 161.00

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