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