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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, 2018
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   44 44 44 44 44 44 44 44 45 45 45
Closed Higher   24 18 18 21 19 11 17 24 16 21 23
Exceeded High   18 14 13 14 11 8 15 18 14 19 15
Scenario Percentage   75% 78% 72% 67% 58% 73% 88% 75% 88% 90% 65%
Avg Max Increase   16.39% 13.27% 14.15% 19.09% 20.43% 13.60% 9.03% 11.53% 14.86% 14.87% 10.66%
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 14 12 14
Avg Max Decline   -1.93% -2.40% -3.00% -2.60% -1.45% -5.87% -4.87% -3.10% -2.31% -2.29% -0.95%
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 5 2
2017 Contract Condition   Yes           Yes       Yes
Action   No           Yes       Not Yet
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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   44 44 44 44 44 44 44 44 45 45 45
Closed Lower   20 26 26 23 25 33 27 20 29 24 22
Penetrated Low   18 23 20 19 21 29 20 16 22 20 13
Scenario Percentage   90% 88% 77% 83% 84% 88% 74% 80% 76% 83% 59%
Avg Max Decline   9.12% 8.70% 7.81% 13.02% 14.57% 11.39% 10.35% 10.27% 11.23% 9.85% 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 15 12 11
Avg Max Increase   -2.69% -2.45% -4.15% -4.15% -2.58% -3.90% -5.42% -5.18% -3.41% -2.93% -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 15 12 10 6 11 10 9 9 2
2017 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes Yes  
Action     Yes Yes Yes Yes No   Yes Yes Yes  
High 160.10 166.75 161.10 154.25 152.00 143.45 135.80 142.90 147.25 143.25 132.70 130.30
Low 142.55 144.60 148.20 144.40 134.65 133.15 119.10 129.40 126.90 126.75 122.85 121.15
Close/Last 146.70 159.60 150.30 147.35 139.35 135.25 129.20 142.75 129.35 128.05 125.10 126.30

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