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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 Jun 23, 2023
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 17 16 22 21 12 18 25 16 21 22
Exceeded High   16 14 10 15 12 9 15 19 15 18 15
Scenario Percentage   70% 82% 63% 68% 57% 75% 83% 76% 94% 86% 68%
Avg Max Increase   14.60% 10.61% 14.35% 17.35% 17.01% 15.01% 9.29% 10.56% 15.55% 15.42% 10.41%
Max Increase   60.95% 23.63% 58.95% 75.81% 102.19% 53.42% 20.58% 38.16% 34.86% 44.71% 27.08%
Avg Days To Max Increase   13 20 19 16 11 15 13 12 15 11 14
Avg Max Decline   -2.15% -3.75% -2.86% -2.39% -2.40% -3.44% -5.40% -3.34% -2.80% -2.14% -1.20%
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 7 10 11 10 4 5 3
2022 Contract Condition   Yes       Yes     Yes      
Action   Yes       Yes     No      
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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 28 29 23 24 33 27 20 29 24 23
Penetrated Low   19 25 23 20 20 29 20 16 22 20 14
Scenario Percentage   86% 89% 79% 87% 83% 88% 74% 80% 76% 83% 61%
Avg Max Decline   8.76% 8.72% 7.52% 11.51% 12.96% 11.19% 9.56% 8.85% 12.23% 10.13% 6.89%
Max Decline   19.81% 20.31% 15.48% 33.87% 27.16% 27.40% 19.83% 22.36% 32.09% 25.29% 13.93%
Avg Days To Max Decline   17 17 17 20 20 17 19 18 14 13 11
Avg Max Increase   -2.50% -2.43% -4.01% -4.10% -2.93% -3.95% -5.12% -5.80% -3.40% -3.15% -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 10 10 5 10 10 9 9 2
2022 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes Yes
Action     Yes Yes Yes   Yes No   Yes Yes Not Yet
High 245.00 240.90 253.40 233.90 235.55 233.25 240.60 232.25 242.95 236.40 226.45 183.40
Low 220.20 218.45 227.60 206.65 213.70 202.10 215.10 192.30 202.75 210.85 167.75 150.45
Close/Last 223.15 231.65 227.90 223.70 221.30 230.80 227.05 213.80 235.25 221.55 177.70 167.70

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