MRCI's ScenarioSM Study

ScenarioSM Study for December Coffee "C"(ICE) as of Jan 21, 2022
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		23	18	17	22	20	12	18	24	16	22	23
Exceeded High		16	15	11	15	11	9	15	19	15	19	16
Scenario Percentage		70%	83%	65%	68%	55%	75%	83%	79%	94%	86%	70%
Avg Max Increase		17.08%	11.59%	13.81%	17.35%	18.17%	15.01%	9.29%	10.56%	15.55%	16.53%	10.99%
Max Increase		60.95%	25.31%	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	18	16	11	15	13	12	15	11	14
Avg Max Decline		-2.20%	-3.40%	-2.78%	-2.39%	-2.65%	-3.44%	-5.40%	-3.34%	-2.80%	-2.36%	-1.34%
Max Decline		-7.62%	-11.73%	-10.40%	-11.13%	-9.79%	-18.36%	-20.13%	-12.33%	-12.69%	-9.64%	-4.93%
Avg Days to Max Decline		7	12	9	5	8	10	11	10	4	5	4
2021 Contract Condition			Yes		Yes	Yes		Yes	Yes		Yes	Yes
Action			Yes		Yes	Yes		No	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		22	27	28	23	25	33	27	21	29	23	22
Penetrated Low		19	24	22	20	21	29	21	17	22	20	14
Scenario Percentage		86%	89%	79%	87%	84%	88%	78%	81%	76%	87%	64%
Avg Max Decline		8.76%	8.70%	7.42%	12.71%	13.97%	11.27%	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	16	19	18	14	13	11
Avg Max Increase		-2.50%	-2.42%	-3.95%	-4.09%	-2.69%	-3.94%	-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
2021 Contract Condition		Yes		Yes			Yes			Yes
Action		No		Yes			Yes			No
High	135.50	139.20	145.25	144.55	151.80	167.85	171.35	217.85	201.55	199.75	215.15	247.55
Low	123.00	126.50	128.10	126.95	126.90	143.95	152.05	150.65	174.50	182.00	191.30	198.70
Close/Last	134.80	130.75	142.25	129.65	145.75	167.00	162.65	182.45	195.90	194.00	203.95	233.25