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