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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 Dec 06, 2024
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 23 26 18 18 22 20 12 21 24
Exceeded High   18 21 16 18 14 12 14 10 10 16 14
Scenario Percentage   78% 91% 70% 69% 78% 67% 64% 50% 83% 76% 58%
Avg Max Increase   15.79% 12.04% 13.37% 15.67% 10.34% 21.16% 17.92% 22.47% 15.02% 9.67% 6.82%
Max Increase   54.56% 58.99% 42.09% 62.80% 19.86% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   18 16 18 13 19 18 17 11 17 12 10
Avg Max Decline   -1.64% -1.42% -2.25% -1.69% -4.43% -3.14% -2.64% -3.48% -5.34% -4.89% -1.44%
Max Decline   -7.46% -5.23% -8.89% -4.99% -11.67% -11.11% -11.79% -10.13% -16.43% -13.46% -3.35%
Avg Days to Max Decline   8 5 9 6 15 6 5 9 11 8 3
2024 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes Yes No Yes   Yes No Yes 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   22 22 22 19 27 27 23 25 33 24 21
Penetrated Low   18 20 18 18 22 22 21 22 29 17 11
Scenario Percentage   82% 91% 82% 95% 81% 81% 91% 88% 88% 71% 52%
Avg Max Decline   9.19% 8.58% 8.10% 8.50% 8.80% 8.39% 12.15% 12.44% 11.55% 9.70% 5.99%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 26.26% 30.78% 16.82% 14.05%
Avg Days To Max Decline   16 14 15 16 18 18 21 20 16 13 11
Avg Max Increase   -2.28% -2.08% -3.93% -2.53% -2.47% -4.39% -4.39% -3.77% -4.64% -4.59% -2.86%
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 9 7 6 14 10 7 7 8 4
2024 Contract Condition           Yes            
Action           No            
High 167.10 169.30 182.45 201.10 191.50 192.10 190.90 243.30 236.60 238.70 255.30 263.65
Low 148.90 147.50 160.30 175.10 173.65 176.55 178.00 186.35 191.00 216.10 219.05 221.00
Close/Last 149.60 166.55 181.50 187.00 189.45 182.50 187.60 214.80 221.25 226.80 229.20 248.20

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