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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 23 20 25 25 21 20 29 26 23 23
Exceeded High   15 17 18 22 20 19 18 22 20 18 12
Scenario Percentage   94% 74% 90% 88% 80% 90% 90% 76% 77% 78% 52%
Avg Max Increase   13.06% 17.62% 15.09% 14.92% 13.89% 16.30% 20.82% 17.92% 22.21% 18.93% 13.99%
Max Increase   60.89% 50.21% 53.74% 65.38% 45.05% 57.97% 102.45% 70.10% 90.79% 127.09% 51.19%
Avg Days To Max Increase   21 21 20 20 18 18 18 15 17 15 16
Avg Max Decline   -3.79% -1.36% -2.66% -3.45% -4.30% -3.68% -3.35% -3.54% -4.03% -3.93% -3.55%
Max Decline   -11.88% -5.36% -13.62% -15.38% -13.02% -12.93% -8.44% -13.12% -12.69% -8.18% -10.07%
Avg Days to Max Decline   9 3 7 6 9 11 7 8 11 7 3
2013 Contract Condition         Yes Yes         Yes  
Action         Yes No         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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   28 21 25 19 20 24 25 16 19 21 22
Penetrated Low   20 18 20 15 14 17 18 9 14 15 16
Scenario Percentage   71% 86% 80% 79% 70% 71% 72% 56% 74% 71% 73%
Avg Max Decline   13.95% 13.46% 12.97% 14.98% 16.74% 13.66% 10.22% 8.11% 11.95% 16.00% 9.57%
Max Decline   30.90% 34.91% 24.89% 28.50% 36.32% 31.31% 23.57% 18.31% 30.22% 39.09% 19.35%
Avg Days To Max Decline   18 16 17 19 19 15 14 16 16 17 18
Avg Max Increase   -2.32% -2.25% -2.65% -3.49% -2.77% -3.02% -5.13% -5.72% -2.83% -4.03% -3.09%
Max Increase   -10.78% -8.81% -10.03% -12.28% -6.40% -7.77% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   6 5 8 10 8 11 8 13 4 6 4
2013 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes   Yes
Action   Yes Yes Yes     Yes Yes Yes Yes   Yes
High 25.13 25.11 24.95 22.44 21.87 24.10 23.08 21.00 21.77 20.03 19.94 19.75
Low 23.54 23.35 22.24 20.68 20.25 21.49 20.16 19.48 19.18 18.66 18.31 18.06
Close/Last 24.96 24.53 22.37 20.75 21.50 22.90 20.51 20.42 19.46 19.34 19.51 18.78

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