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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 Jun 08, 2020
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 20 18 27 23 19 20 27 23 22 23
Exceeded High   15 14 16 21 19 17 17 19 17 16 13
Scenario Percentage   94% 70% 89% 78% 83% 89% 85% 70% 74% 73% 57%
Avg Max Increase   13.05% 19.51% 14.92% 12.62% 11.95% 15.47% 15.62% 12.26% 14.15% 11.79% 9.81%
Max Increase   60.89% 50.21% 53.74% 37.55% 36.29% 54.24% 46.28% 31.42% 51.41% 34.40% 33.80%
Avg Days To Max Increase   20 23 19 20 17 18 18 13 17 14 16
Avg Max Decline   -3.98% -1.52% -2.15% -3.49% -4.61% -3.17% -3.11% -3.82% -4.33% -3.77% -2.89%
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 5 7 9 9 8 7 12 7 3
2020 Contract Condition         Yes     Yes   Yes Yes Yes
Action         No     Yes   Yes Yes 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 24 27 18 22 26 25 18 22 22 22
Penetrated Low   23 19 22 13 16 18 18 11 17 17 16
Scenario Percentage   82% 79% 81% 72% 73% 69% 72% 61% 77% 77% 73%
Avg Max Decline   13.01% 12.94% 12.14% 14.50% 14.53% 13.25% 10.53% 9.09% 11.72% 12.90% 8.04%
Max Decline   30.90% 34.91% 24.89% 26.60% 36.32% 31.31% 23.57% 18.31% 30.22% 25.12% 18.52%
Avg Days To Max Decline   20 17 20 18 20 17 14 17 15 17 18
Avg Max Increase   -2.52% -2.11% -2.73% -2.26% -2.78% -3.48% -5.35% -5.34% -2.56% -4.45% -3.04%
Max Increase   -10.78% -8.81% -10.03% -11.84% -9.32% -9.89% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   8 4 9 8 10 11 9 12 3 7 4
2020 Contract Condition   Yes Yes Yes   Yes Yes   Yes      
Action   Yes Yes Yes   Yes Yes   No      
High 14.64 14.28 14.20 13.76 13.78 13.69 13.20 12.85 12.93 13.01 13.67 14.90
Low 13.74 13.48 13.61 12.85 13.17 12.42 12.15 11.74 12.05 12.29 12.73 13.10
Close/Last 14.19 13.80 13.70 13.34 13.55 13.20 12.23 12.65 12.48 12.94 13.42 14.61

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