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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, 2019
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 23 25 24 19 20 22 19 11 18 23
Exceeded High   18 20 20 17 14 15 16 9 8 14 15
Scenario Percentage   78% 87% 80% 71% 74% 75% 73% 47% 73% 78% 65%
Avg Max Increase   15.07% 13.56% 14.05% 16.92% 14.20% 18.67% 20.62% 26.74% 13.63% 9.20% 6.55%
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 18 14 17 12 10
Avg Max Decline   -1.80% -1.30% -1.78% -1.30% -2.30% -3.58% -2.79% -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 3
2018 Contract Condition               Yes Yes      
Action               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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 22 20 21 26 25 23 26 34 27 22
Penetrated Low   17 19 16 19 22 20 20 22 30 17 13
Scenario Percentage   77% 86% 80% 90% 85% 80% 87% 85% 88% 63% 59%
Avg Max Decline   9.39% 8.44% 8.56% 9.14% 8.83% 8.51% 13.22% 13.73% 12.52% 10.49% 7.21%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 33.16% 30.78% 23.47% 18.46%
Avg Days To Max Decline   17 14 17 16 17 20 22 20 16 13 11
Avg Max Increase   -2.18% -1.94% -3.95% -2.72% -2.37% -4.43% -4.52% -3.18% -4.27% -4.82% -2.00%
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   10 4 8 7 7 15 12 7 6 9 4
2018 Contract Condition   Yes Yes Yes Yes Yes Yes     Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes     Yes Yes Yes
High 153.20 143.15 139.55 136.80 138.05 131.05 128.25 125.15 128.15 127.15 115.75 110.40
Low 137.25 133.75 131.75 125.20 126.85 123.00 121.00 117.55 118.70 114.50 106.90 95.45
Close/Last 138.50 135.60 135.10 133.30 128.95 126.20 122.35 124.95 125.90 115.10 109.90 98.10

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