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