MRCI's ScenarioSM Study

ScenarioSM Study for December Coffee "C"(ICE) as of Dec 30, 2016
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		43	43	43	43	43	43	43	43	44	44	44
Closed Higher		23	18	18	21	19	11	16	24	16	21	22
Exceeded High		18	14	13	14	11	8	14	18	14	19	15
Scenario Percentage		78%	78%	72%	67%	58%	73%	88%	75%	88%	90%	68%
Avg Max Increase		16.39%	13.27%	14.15%	19.09%	20.43%	13.60%	9.45%	11.53%	14.86%	14.95%	10.98%
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	15	13	14	12	15
Avg Max Decline		-1.93%	-2.40%	-3.00%	-2.60%	-1.45%	-5.87%	-5.05%	-3.10%	-2.31%	-2.29%	-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	11	9	5	5	4
2016 Contract Condition				Yes		Yes	Yes	Yes		Yes	Yes
Action				No		Yes	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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		43	43	43	43	43	43	43	43	44	44	44
Closed Lower		20	25	25	22	24	32	27	19	28	23	22
Penetrated Low		18	22	19	18	20	29	20	15	21	20	13
Scenario Percentage		90%	88%	76%	82%	83%	91%	74%	79%	75%	87%	59%
Avg Max Decline		9.12%	8.62%	7.71%	12.94%	14.70%	11.39%	10.35%	10.61%	11.51%	10.17%	6.76%
Max Decline		19.81%	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		17	17	19	23	21	16	19	19	14	12	11
Avg Max Increase		-2.69%	-2.44%	-4.20%	-4.22%	-2.68%	-3.90%	-5.42%	-4.80%	-3.40%	-2.95%	-1.20%
Max Increase		-9.34%	-8.94%	-11.74%	-19.50%	-9.15%	-36.22%	-19.40%	-14.83%	-13.39%	-13.90%	-5.00%
Avg Days to Max Increase		6	8	14	12	11	6	11	9	9	9	2
2016 Contract Condition		Yes	Yes		Yes				Yes			Yes
Action		Yes	Yes		Yes				No			Yes
High	136.90	134.50	130.85	141.40	134.95	139.65	150.60	157.65	149.00	160.90	166.90	176.00
Low	125.95	120.00	120.00	119.40	124.60	123.45	125.50	142.15	137.85	146.60	145.20	147.40
Close/Last	135.05	124.10	120.95	132.90	125.75	126.15	148.30	149.50	147.05	151.55	164.15	147.50