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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 Jun 30, 2022
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 23 19 19 22 19 12 19 24
Exceeded High   18 21 19 15 15 13 16 9 9 15 15
Scenario Percentage   75% 91% 76% 65% 79% 68% 73% 47% 75% 79% 63%
Avg Max Increase   16.31% 13.33% 13.11% 17.65% 12.34% 18.89% 20.00% 23.70% 14.88% 9.72% 7.10%
Max Increase   54.56% 58.99% 42.09% 62.80% 26.30% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   20 16 17 13 19 17 17 12 16 13 11
Avg Max Decline   -1.79% -1.48% -2.18% -1.48% -3.39% -3.37% -2.72% -3.47% -5.56% -5.38% -1.14%
Max Decline   -8.13% -6.04% -8.89% -4.17% -11.67% -11.11% -11.79% -10.13% -16.43% -13.46% -3.35%
Avg Days to Max Decline   8 6 9 6 12 6 6 9 12 9 4
2021 Contract Condition     Yes Yes   Yes   Yes Yes   Yes Yes
Action     Yes Yes   Yes   Yes Yes   Not Yet Not Yet
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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 22 26 26 23 26 33 26 21
Penetrated Low   17 20 16 19 22 21 21 22 29 17 11
Scenario Percentage   81% 91% 80% 86% 85% 81% 91% 85% 88% 65% 52%
Avg Max Decline   9.18% 8.37% 8.16% 8.92% 8.88% 8.30% 13.00% 13.41% 12.41% 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   16 14 16 15 17 19 21 20 16 15 13
Avg Max Increase   -2.30% -1.98% -4.25% -2.60% -2.40% -4.36% -4.44% -3.27% -4.41% -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 14 11 7 6 8 4
2021 Contract Condition   Yes     Yes   Yes     Yes    
Action   Yes     No   Yes     Yes    
High 137.60 119.50 129.10 134.00 137.25 143.80 143.20 149.55 165.10 168.65 215.20 197.40
Low 114.20 110.55 109.65 121.35 124.45 125.95 124.50 124.45 141.50 149.05 147.65 171.60
Close/Last 116.65 111.70 128.05 133.30 128.80 140.90 127.30 143.40 164.30 159.75 179.55 193.45

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