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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Higher   19 28 24 19 23 28 26 23 23 21 20
Exceeded High   15 21 19 17 21 21 20 18 18 18 7
Scenario Percentage   79% 75% 79% 89% 91% 75% 77% 78% 78% 86% 35%
Avg Max Increase   16.16% 13.81% 13.41% 17.38% 18.24% 16.44% 16.73% 17.92% 17.65% 12.15% 10.70%
Max Increase   45.88% 66.98% 44.08% 65.74% 109.58% 65.17% 69.47% 116.27% 48.06% 52.06% 19.12%
Avg Days To Max Increase   21 19 19 17 18 15 18 15 15 15 17
Avg Max Decline   -1.43% -2.74% -3.87% -3.15% -2.08% -3.41% -3.47% -4.60% -3.73% -3.04% -4.54%
Max Decline   -6.54% -15.43% -12.45% -12.32% -7.12% -14.75% -10.23% -14.06% -9.78% -14.22% -13.37%
Avg Days to Max Decline   4 7 9 10 9 9 10 10 8 8 5
2016 Contract Condition     Yes     Yes Yes Yes Yes   Yes Yes
Action     No     Yes Yes No No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   25 16 21 26 22 17 19 22 22 24 25
Penetrated Low   20 11 12 17 17 10 13 18 18 18 19
Scenario Percentage   80% 69% 57% 65% 77% 59% 68% 82% 82% 75% 76%
Avg Max Decline   11.06% 13.29% 15.71% 12.79% 9.22% 7.15% 10.47% 14.32% 13.05% 18.27% 13.50%
Max Decline   24.63% 25.43% 34.55% 30.87% 22.20% 15.92% 24.24% 38.10% 33.24% 38.35% 26.37%
Avg Days To Max Decline   19 16 20 15 14 18 18 20 20 22 22
Avg Max Increase   -2.73% -2.94% -1.91% -2.56% -4.91% -4.49% -2.22% -3.79% -4.08% -3.57% -2.94%
Max Increase   -9.83% -11.58% -6.05% -6.73% -19.73% -10.06% -7.14% -17.49% -13.39% -9.14% -10.69%
Avg Days to Max Increase   11 6 9 12 8 12 4 9 9 6 6
2016 Contract Condition   Yes   Yes Yes         Yes    
Action   Yes   Yes No         Yes    
High 15.09 15.00 14.10 13.98 12.50 12.88 14.36 15.35 15.35 14.90 14.38 16.75
Low 13.97 13.62 13.27 12.48 11.44 11.44 12.78 13.63 13.88 13.04 12.61 14.12
Close/Last 14.75 13.67 13.82 12.50 11.95 12.80 14.17 14.46 14.92 13.08 14.36 15.35

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