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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 Dec 30, 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   15 21 18 26 25 20 21 28 25 23 22
Exceeded High   14 15 16 21 20 18 19 21 19 17 12
Scenario Percentage   93% 71% 89% 81% 80% 90% 90% 75% 76% 74% 55%
Avg Max Increase   13.07% 18.95% 16.45% 15.51% 13.89% 17.02% 20.89% 18.04% 22.27% 18.78% 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   20 22 20 20 18 18 18 15 17 15 16
Avg Max Decline   -3.83% -1.06% -2.69% -3.27% -4.30% -3.58% -2.85% -3.64% -3.95% -4.20% -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 2 7 5 9 10 7 9 11 8 3
2016 Contract Condition     Yes   Yes     Yes Yes Yes Yes  
Action     No   No     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 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   29 23 27 18 20 25 24 17 20 21 23
Penetrated Low   21 19 22 14 14 17 18 10 15 17 17
Scenario Percentage   72% 83% 81% 78% 70% 68% 75% 59% 75% 81% 74%
Avg Max Decline   13.50% 13.15% 12.37% 13.32% 15.40% 13.54% 10.53% 8.28% 12.03% 15.03% 9.32%
Max Decline   30.90% 34.91% 24.89% 26.60% 36.32% 31.31% 23.57% 18.31% 30.22% 39.09% 19.35%
Avg Days To Max Decline   19 16 19 18 20 15 14 17 15 18 18
Avg Max Increase   -2.62% -2.19% -2.54% -3.52% -2.51% -3.15% -5.35% -5.40% -2.72% -4.22% -3.10%
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   7 5 9 10 8 11 9 12 3 7 4
2016 Contract Condition   Yes   Yes   Yes Yes         Yes
Action   Yes   Yes   Yes No         Yes
High 16.64 15.81 15.02 14.98 14.05 13.98 12.45 13.00 14.80 15.78 15.85 15.24
Low 15.69 13.88 13.90 13.49 13.08 12.38 11.28 11.48 12.87 13.93 14.23 13.07
Close/Last 15.76 13.91 14.71 13.59 13.76 12.40 11.77 12.88 14.52 14.93 15.24 13.14

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