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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, 2018
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 22 19 27 24 21 21 27 24 22 22
Exceeded High   15 16 17 22 19 19 18 20 18 16 12
Scenario Percentage   94% 73% 89% 81% 79% 90% 86% 74% 75% 73% 55%
Avg Max Increase   13.05% 19.31% 16.55% 15.02% 14.25% 17.03% 21.52% 15.44% 19.39% 18.83% 13.65%
Max Increase   60.89% 50.21% 53.74% 65.38% 45.05% 57.97% 102.45% 43.57% 90.79% 127.09% 51.19%
Avg Days To Max Increase   20 22 21 20 18 18 17 14 18 16 16
Avg Max Decline   -3.98% -1.20% -2.62% -3.42% -4.52% -3.51% -2.90% -3.64% -4.09% -4.24% -3.47%
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 6 9 9 7 8 12 7 3
2017 Contract Condition   Yes Yes Yes Yes   Yes Yes       Yes
Action   Yes Yes Yes Yes   Yes No       Yes
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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 22 26 18 21 24 24 18 21 22 23
Penetrated Low   21 18 21 14 14 16 18 11 16 17 17
Scenario Percentage   75% 82% 81% 78% 67% 67% 75% 61% 76% 77% 74%
Avg Max Decline   13.50% 13.53% 12.80% 13.32% 15.40% 14.24% 10.53% 9.09% 11.90% 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 17 20 18 20 15 14 17 15 18 18
Avg Max Increase   -2.62% -2.19% -2.71% -3.52% -2.51% -3.10% -5.35% -5.34% -2.61% -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 4 9 10 8 10 9 12 3 7 4
2017 Contract Condition           Yes     Yes Yes Yes  
Action           No     Yes Yes No  
High 14.81 17.05 17.11 18.07 21.20 21.13 21.37 24.10 23.90 22.59 19.99 21.38
Low 13.48 14.58 15.07 16.45 17.67 19.09 19.18 20.10 21.55 19.50 17.84 19.58
Close/Last 14.79 16.04 17.02 17.93 20.43 19.44 20.56 23.00 21.57 19.81 19.51 20.45

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