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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, 2016
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 21 19 26 25 21 20 28 25 23 23
Exceeded High   15 16 17 22 20 19 18 21 19 18 12
Scenario Percentage   94% 76% 89% 85% 80% 90% 90% 75% 76% 78% 52%
Avg Max Increase   12.64% 18.18% 15.80% 14.92% 13.89% 16.30% 20.80% 18.01% 23.26% 18.69% 13.40%
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   20 21 20 20 18 18 18 15 18 15 15
Avg Max Decline   -3.91% -1.28% -2.67% -3.45% -4.30% -3.68% -3.00% -3.49% -4.12% -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 12 7 3
2015 Contract Condition   Yes     Yes             Yes
Action   Yes     No             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 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 23 26 18 20 24 25 17 20 21 22
Penetrated Low   20 19 21 14 13 17 19 10 15 17 16
Scenario Percentage   71% 83% 81% 78% 65% 71% 76% 59% 75% 81% 73%
Avg Max Decline   14.03% 13.15% 12.54% 13.32% 15.89% 13.54% 10.02% 8.28% 12.03% 14.92% 9.08%
Max Decline   30.90% 34.91% 24.89% 26.60% 36.32% 31.31% 23.57% 18.31% 30.22% 38.56% 18.65%
Avg Days To Max Decline   19 16 18 18 19 15 13 17 15 17 15
Avg Max Increase   -2.35% -2.19% -2.50% -3.52% -2.68% -3.15% -5.10% -5.40% -2.72% -4.22% -2.81%
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 9 10 9 11 8 12 3 7 3
2015 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes Yes  
Action     No Yes   Yes Yes Yes Yes Yes Yes  
High 18.87 19.37 19.42 19.62 19.83 19.36 18.70 17.76 17.20 16.44 15.75 16.16
Low 17.17 18.19 18.48 18.61 18.51 18.21 17.27 15.51 15.89 15.42 14.47 14.07
Close/Last 18.60 19.17 19.12 19.07 19.22 18.25 17.44 16.45 16.04 15.59 14.52 14.79

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