MRCI's ScenarioSM Study

ScenarioSM Study for September Coffee "C"(ICE) as of Nov 09, 2020
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		24	23	25	24	19	20	22	19	13	18	24
Exceeded High		18	21	19	16	15	14	16	9	10	15	16
Scenario Percentage		75%	91%	76%	67%	79%	70%	73%	47%	77%	83%	67%
Avg Max Increase		16.31%	13.77%	13.48%	17.40%	14.07%	19.76%	20.62%	21.84%	14.42%	9.72%	6.88%
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	11	17	13	11
Avg Max Decline		-1.79%	-1.28%	-1.87%	-1.42%	-2.74%	-3.00%	-2.79%	-2.52%	-7.13%	-5.38%	-1.03%
Max Decline		-8.13%	-6.04%	-8.89%	-4.17%	-10.05%	-11.11%	-11.79%	-10.13%	-21.26%	-13.46%	-3.35%
Avg Days to Max Decline		8	5	8	8	10	6	6	5	13	9	4
2020 Contract Condition		Yes	Yes	Yes		Yes	Yes			Yes	Yes	Yes
Action		Yes	Yes	No		Yes	No			Yes	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	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		21	22	20	21	26	25	23	26	32	27	21
Penetrated Low		17	20	16	19	22	20	21	22	28	17	11
Scenario Percentage		81%	91%	80%	90%	85%	80%	91%	85%	88%	63%	52%
Avg Max Decline		9.39%	8.37%	8.16%	8.92%	8.88%	8.60%	13.00%	13.41%	12.58%	10.10%	6.63%
Max Decline		22.31%	17.16%	21.60%	20.79%	16.50%	16.67%	33.77%	33.16%	30.78%	18.13%	14.05%
Avg Days To Max Decline		17	14	16	15	17	20	21	20	16	15	13
Avg Max Increase		-2.18%	-1.98%	-4.25%	-2.60%	-2.40%	-4.51%	-4.44%	-3.27%	-4.46%	-4.59%	-2.94%
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	10	7	6	15	11	7	6	8	4
2020 Contract Condition					Yes			Yes	Yes
Action					Yes			Yes	Yes
High	114.70	112.80	125.35	147.30	136.45	117.90	129.05	123.50	114.15	103.15	119.40	130.80
Low	104.00	102.15	110.60	123.70	106.75	103.95	104.75	105.25	97.70	94.55	96.30	109.70
Close/Last	111.05	111.25	124.80	135.80	109.25	115.00	121.05	107.50	98.15	101.00	118.95	129.80