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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 Sep 16, 2022
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 20 19 28 24 20 21 27 23 23 23
Exceeded High   14 14 17 22 20 18 18 20 17 16 14
Scenario Percentage   93% 70% 89% 79% 83% 90% 86% 74% 74% 70% 61%
Avg Max Increase   13.04% 19.30% 14.64% 12.65% 10.95% 15.35% 15.64% 12.10% 14.47% 13.08% 10.51%
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   21 24 21 20 17 19 18 14 17 15 16
Avg Max Decline   -4.15% -1.64% -1.88% -3.77% -4.32% -3.35% -3.02% -3.68% -3.75% -3.66% -2.69%
Max Decline   -11.88% -5.36% -13.62% -15.38% -13.02% -12.93% -8.44% -13.12% -11.92% -8.18% -10.07%
Avg Days to Max Decline   10 3 6 7 9 9 8 7 11 8 3
2022 Contract Condition     Yes Yes Yes Yes Yes       Yes  
Action     Yes Yes Yes Yes No       No  
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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 24 26 17 21 25 24 18 22 21 22
Penetrated Low   24 18 21 13 15 17 17 11 17 16 15
Scenario Percentage   83% 75% 81% 76% 71% 68% 71% 61% 77% 76% 68%
Avg Max Decline   11.62% 11.72% 11.68% 14.50% 13.08% 12.18% 10.76% 8.78% 11.73% 13.23% 8.44%
Max Decline   26.02% 29.09% 24.89% 26.60% 29.69% 28.30% 23.57% 18.31% 30.22% 25.12% 18.52%
Avg Days To Max Decline   20 17 19 18 19 17 14 15 15 17 19
Avg Max Increase   -2.29% -1.90% -2.61% -2.26% -2.98% -3.80% -4.51% -5.02% -3.07% -4.60% -3.20%
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   7 4 9 8 10 11 10 12 4 7 4
2022 Contract Condition   Yes           Yes Yes Yes   Yes
Action   Yes           Yes Yes Yes   Not Yet
High 16.28 16.14 17.56 18.05 18.11 19.19 20.94 20.74 20.61 20.69 19.90 19.29
Low 14.80 14.97 14.90 16.69 16.74 17.16 18.31 19.31 18.82 18.55 18.46 17.60
Close/Last 15.77 15.04 16.81 17.49 18.08 18.43 20.55 20.34 19.27 18.60 18.88 18.22

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