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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 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 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   20 29 23 20 23 27 25 22 23 20 20
Exceeded High   16 22 18 18 20 20 19 17 18 17 7
Scenario Percentage   80% 76% 78% 90% 87% 74% 76% 77% 78% 85% 35%
Avg Max Increase   16.02% 13.51% 13.77% 17.26% 18.68% 14.01% 13.95% 17.75% 16.87% 12.03% 10.70%
Max Increase   45.88% 66.98% 44.08% 65.74% 109.58% 41.13% 51.54% 116.27% 48.06% 52.06% 19.12%
Avg Days To Max Increase   20 19 18 17 17 14 18 15 14 15 17
Avg Max Decline   -1.41% -2.80% -3.96% -3.08% -2.09% -3.41% -3.58% -4.58% -3.59% -3.42% -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 8 8 9 7 8 10 10 7 8 5
2017 Contract Condition   Yes Yes   Yes Yes       Yes    
Action   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 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   24 15 22 25 22 18 20 23 22 25 25
Penetrated Low   19 11 12 16 17 11 14 18 18 19 19
Scenario Percentage   79% 73% 55% 64% 77% 61% 70% 78% 82% 76% 76%
Avg Max Decline   11.51% 13.29% 15.71% 13.50% 9.22% 7.98% 10.32% 14.32% 13.05% 17.41% 11.37%
Max Decline   24.63% 25.43% 34.55% 30.87% 22.20% 16.34% 24.24% 38.10% 33.24% 36.31% 22.44%
Avg Days To Max Decline   18 16 20 15 14 17 18 20 20 21 21
Avg Max Increase   -2.75% -2.94% -1.91% -2.68% -4.91% -4.42% -2.12% -3.79% -4.08% -3.55% -2.93%
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 11 4 9 9 6 6
2017 Contract Condition       Yes     Yes Yes Yes   Yes Yes
Action       No     Yes Yes No   Yes Yes
High 16.78 17.67 19.99 19.99 20.69 23.10 22.98 21.90 19.43 21.17 21.21 19.84
Low 14.89 16.20 17.34 18.50 18.63 19.63 21.08 19.03 17.66 19.32 19.10 16.58
Close/Last 16.69 17.54 19.30 18.86 20.04 22.16 21.11 19.27 19.25 20.46 19.23 16.76

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