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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 Sep 30, 2024
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 16 22 20 12 19 24 16 21 23
Exceeded High   17 15 10 14 11 9 16 18 15 19 16
Scenario Percentage   71% 83% 63% 64% 55% 75% 84% 75% 94% 90% 70%
Avg Max Increase   14.07% 10.57% 14.35% 15.92% 17.75% 15.01% 8.82% 10.90% 15.55% 15.94% 9.85%
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   14 20 19 17 11 15 12 12 15 11 14
Avg Max Decline   -2.31% -4.14% -2.86% -2.46% -2.77% -3.44% -5.16% -3.18% -2.80% -2.30% -1.44%
Max Decline   -7.62% -11.73% -10.40% -11.13% -9.79% -18.36% -20.13% -12.33% -12.69% -9.64% -5.05%
Avg Days to Max Decline   7 14 9 4 8 10 10 10 4 5 3
2024 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes Yes    
Action   No   Yes No Yes Yes Yes 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 29 23 25 33 26 21 29 24 22
Penetrated Low   18 24 23 20 21 29 20 17 22 20 13
Scenario Percentage   86% 89% 79% 87% 84% 88% 77% 81% 76% 83% 59%
Avg Max Decline   8.38% 8.60% 7.52% 11.51% 12.85% 10.50% 9.56% 8.74% 11.96% 10.13% 6.35%
Max Decline   19.81% 20.31% 15.48% 33.87% 27.16% 27.40% 19.83% 22.36% 32.09% 25.29% 10.91%
Avg Days To Max Decline   18 18 17 20 20 16 19 18 14 13 11
Avg Max Increase   -2.24% -2.47% -4.01% -4.10% -3.22% -4.24% -5.12% -5.84% -3.31% -3.15% -1.18%
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 6 10 10 9 9 2
2024 Contract Condition     Yes                  
Action     No                  
High 202.10 192.25 191.70 190.50 241.20 234.70 236.20 252.70 259.45 275.05    
Low 176.95 174.80 176.95 177.75 185.90 189.80 215.10 216.80 220.15 235.30    
Close/Last 188.30 189.35 182.30 187.05 213.00 219.80 224.50 228.15 244.05 270.25    

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