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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Coffee "C"(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 41 41 41 41 41 41 41 42 42 42
Closed Higher   23 18 17 20 18 9 15 24 15 20 22
Exceeded High   18 14 13 14 10 7 13 18 13 18 15
Scenario Percentage   78% 78% 76% 70% 56% 78% 87% 75% 87% 90% 68%
Avg Max Increase   16.39% 13.27% 14.15% 19.09% 19.98% 14.64% 9.59% 11.53% 14.76% 15.79% 11.28%
Max Increase   60.95% 28.74% 58.95% 75.81% 102.19% 53.42% 20.58% 38.16% 34.86% 44.71% 27.08%
Avg Days To Max Increase   15 19 19 18 13 14 14 13 15 13 15
Avg Max Decline   -1.93% -2.40% -3.00% -2.60% -1.54% -6.21% -4.84% -3.10% -2.16% -2.58% -1.17%
Max Decline   -7.62% -11.73% -10.40% -11.13% -5.28% -20.62% -20.13% -12.33% -12.69% -9.64% -4.40%
Avg Days to Max Decline   8 9 8 5 6 12 10 9 5 6 4
2014 Contract Condition   Yes Yes   Yes     Yes Yes      
Action   Yes Yes   No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   41 41 41 41 41 41 41 41 42 42 42
Closed Lower   18 23 24 21 23 32 26 17 27 22 20
Penetrated Low   16 20 18 17 19 29 19 14 20 19 12
Scenario Percentage   89% 87% 75% 81% 83% 91% 73% 82% 74% 86% 60%
Avg Max Decline   8.78% 9.05% 7.64% 13.59% 15.11% 11.39% 10.32% 10.81% 11.68% 10.29% 6.62%
Max Decline   19.63% 20.31% 15.48% 33.87% 34.05% 27.40% 24.43% 22.36% 29.23% 25.29% 13.93%
Avg Days To Max Decline   19 18 19 24 20 16 19 18 14 12 11
Avg Max Increase   -2.44% -2.58% -3.92% -4.41% -2.34% -3.90% -5.13% -5.11% -2.90% -3.04% -1.28%
Max Increase   -9.34% -8.94% -11.74% -19.50% -6.54% -36.22% -19.40% -14.83% -10.87% -13.90% -5.00%
Avg Days to Max Increase   6 9 15 13 11 6 11 10 9 10 2
2014 Contract Condition       Yes   Yes Yes     Yes Yes Yes
Action       No   Yes Yes     No Yes Yes
High 127.05 133.85 186.60 214.55 222.60 213.20 188.40 200.00 211.10 209.95 225.50 199.75
Low 115.55 119.90 133.35 171.10 175.00 176.55 170.15 163.10 182.85 176.40 185.65 181.10
Close/Last 120.10 133.30 185.95 184.70 210.10 183.20 178.70 198.75 201.20 193.35 188.00 186.65

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