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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 May 10, 2021
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 13 17 24 17 22 23
Exceeded High   17 15 12 15 11 10 15 19 16 19 16
Scenario Percentage   71% 83% 67% 68% 55% 77% 88% 79% 94% 86% 70%
Avg Max Increase   16.82% 13.06% 14.97% 17.98% 16.83% 14.02% 9.29% 11.19% 15.49% 16.30% 11.32%
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   16 19 19 17 11 15 13 13 15 12 15
Avg Max Decline   -2.08% -2.82% -2.39% -2.46% -1.87% -5.16% -5.40% -2.95% -2.65% -2.30% -1.30%
Max Decline   -7.62% -11.73% -10.40% -11.13% -9.67% -20.62% -20.13% -12.33% -12.69% -9.64% -4.93%
Avg Days to Max Decline   8 9 8 5 4 11 11 9 5 5 4
2020 Contract Condition     Yes Yes     Yes Yes Yes     Yes
Action     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 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 32 28 21 28 23 22
Penetrated Low   19 24 21 20 21 28 21 17 22 20 14
Scenario Percentage   90% 89% 78% 87% 84% 88% 75% 81% 79% 87% 64%
Avg Max Decline   8.76% 8.70% 7.67% 12.71% 13.97% 11.41% 9.90% 9.38% 11.25% 10.00% 6.89%
Max Decline   19.81% 20.31% 15.48% 33.87% 34.05% 27.40% 19.83% 22.36% 29.23% 25.29% 13.93%
Avg Days To Max Decline   17 18 18 21 20 17 19 18 14 13 11
Avg Max Increase   -2.50% -2.42% -4.07% -4.09% -2.69% -3.98% -5.17% -5.70% -3.42% -3.22% -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   5 8 14 11 10 6 9 10 9 11 2
2020 Contract Condition   Yes     Yes Yes       Yes Yes  
Action   Yes     Yes Yes       Yes Yes  
High 148.75 138.65 120.45 129.30 124.75 115.80 105.35 122.05 130.20 135.45 113.35 121.70
Low 125.60 109.55 106.75 107.10 107.00 100.05 96.90 98.95 112.15 108.30 102.95 102.15
Close/Last 137.95 112.05 117.35 122.25 109.35 100.55 103.45 121.60 129.05 110.95 104.40 120.70

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