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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Coffee "C"(ICE) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 44 44 44 44 44 44 44 44 44 44
Closed Higher   23 23 25 24 19 20 21 18 11 18 23
Exceeded High   18 20 20 17 14 15 15 9 8 14 15
Scenario Percentage   78% 87% 80% 71% 74% 75% 71% 50% 73% 78% 65%
Avg Max Increase   15.07% 13.56% 14.05% 16.92% 14.20% 18.67% 21.83% 26.74% 13.63% 9.29% 6.74%
Max Increase   54.56% 58.99% 42.09% 62.80% 32.10% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   20 16 17 14 19 18 19 14 17 12 11
Avg Max Decline   -1.80% -1.30% -1.78% -1.30% -2.30% -3.58% -2.93% -1.95% -8.28% -4.66% -1.10%
Max Decline   -8.13% -6.04% -8.89% -4.17% -10.05% -11.70% -11.79% -5.93% -21.26% -13.46% -3.35%
Avg Days to Max Decline   8 6 8 7 9 6 6 6 14 8 4
2017 Contract Condition   Yes     Yes           Yes  
Action   Yes     No           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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 44 44 44 44 44 44 44 44 44 44
Closed Lower   21 21 19 20 25 24 23 26 33 26 21
Penetrated Low   16 18 15 18 21 19 20 22 29 16 12
Scenario Percentage   76% 86% 79% 90% 84% 79% 87% 85% 88% 62% 57%
Avg Max Decline   9.50% 8.50% 8.61% 9.30% 8.92% 8.75% 13.22% 13.73% 12.36% 10.77% 8.21%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 33.16% 30.78% 29.24% 24.62%
Avg Days To Max Decline   17 14 16 16 17 20 22 20 16 14 13
Avg Max Increase   -2.14% -1.98% -3.98% -2.78% -2.40% -4.62% -4.52% -3.18% -4.40% -5.09% -2.07%
Max Increase   -6.26% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -9.64% -39.51% -11.96% -8.01%
Avg Days to Max Increase   9 4 8 7 7 15 12 7 6 10 4
2017 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes   Yes
Action     Yes No   Yes Yes Yes Yes No   Not Yet
High 168.60 175.45 184.80 157.55 163.75 158.20 151.05 148.75 140.00 132.30 139.35 143.75
Low 155.70 154.05 156.85 139.55 141.15 145.05 140.95 131.10 129.60 115.50 125.80 125.50
Close/Last 160.05 173.10 156.95 143.70 156.55 147.20 144.00 135.75 131.70 125.70 139.25 128.15

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