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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, 2019
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 18 18 22 20 11 17 24 16 22 23
Exceeded High   18 14 13 15 11 8 15 18 15 19 15
Scenario Percentage   75% 78% 72% 68% 55% 73% 88% 75% 94% 86% 65%
Avg Max Increase   16.39% 13.27% 14.15% 17.98% 20.43% 13.60% 9.03% 11.53% 15.37% 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 17 13 14 14 13 15 12 14
Avg Max Decline   -1.93% -2.40% -3.00% -2.46% -1.45% -5.87% -4.87% -3.10% -2.24% -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
2018 Contract Condition         Yes Yes       Yes Yes  
Action         Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 27 27 23 25 34 28 21 29 23 22
Penetrated Low   19 24 21 19 21 30 21 17 22 19 14
Scenario Percentage   90% 89% 78% 83% 84% 88% 75% 81% 76% 83% 64%
Avg Max Decline   8.95% 8.61% 7.61% 13.02% 14.57% 11.55% 10.61% 10.05% 11.23% 10.08% 6.89%
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 13 11
Avg Max Increase   -2.64% -2.41% -3.99% -4.15% -2.58% -3.79% -5.19% -5.01% -3.41% -3.04% -1.13%
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 10 6 11 10 9 10 2
2018 Contract Condition   Yes Yes Yes     Yes Yes Yes     Yes
Action   Yes Yes Yes     Yes Yes Yes     Yes
High 140.15 141.35 134.55 131.50 128.55 131.50 130.60 119.25 113.65 104.15 125.50 121.30
Low 128.75 130.20 126.55 124.45 121.10 122.25 118.00 110.45 99.35 95.10 101.10 103.25
Close/Last 136.70 132.35 129.50 125.70 128.35 129.45 118.55 113.10 101.80 102.45 112.70 103.25

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