MRCI's ScenarioSM Study

ScenarioSM Study for July Sugar #11(ICE) as of Jan 01, 2015
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		25	16	24	28	28	24	22	19	18	18	21
Exceeded High		18	14	22	19	21	22	19	15	14	14	16
Scenario Percentage		72%	88%	92%	68%	75%	92%	86%	79%	78%	78%	76%
Avg Max Increase		12.82%	18.19%	16.32%	15.83%	18.72%	19.64%	17.31%	10.82%	16.89%	20.83%	15.72%
Max Increase		43.91%	72.39%	114.46%	62.10%	66.98%	125.95%	59.36%	44.38%	81.05%	68.80%	42.03%
Avg Days To Max Increase		18	20	17	16	16	14	15	14	18	18	20
Avg Max Decline		-3.61%	-2.97%	-2.60%	-2.08%	-2.66%	-3.41%	-3.98%	-2.41%	-4.90%	-3.03%	-1.43%
Max Decline		-13.66%	-8.88%	-6.65%	-6.47%	-9.56%	-12.58%	-8.70%	-8.60%	-13.41%	-10.07%	-5.65%
Avg Days to Max Decline		11	13	9	8	6	7	11	9	10	6	3
2014 Contract Condition				Yes	Yes				Yes	Yes
Action				Yes	No				Yes	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		20	28	20	17	17	21	22	26	27	27	24
Penetrated Low		13	17	15	11	11	18	18	19	21	23	20
Scenario Percentage		65%	61%	75%	65%	65%	86%	82%	73%	78%	85%	83%
Avg Max Decline		14.24%	12.59%	8.44%	6.26%	10.00%	13.44%	13.85%	18.12%	17.96%	14.85%	12.21%
Max Decline		32.01%	30.34%	21.05%	13.83%	22.89%	35.16%	34.36%	36.14%	38.60%	38.62%	26.75%
Avg Days To Max Decline		19	16	14	13	20	20	21	23	21	17	18
Avg Max Increase		-1.94%	-2.64%	-4.77%	-3.33%	-2.00%	-3.23%	-3.23%	-3.86%	-3.23%	-2.89%	-1.99%
Max Increase		-5.34%	-6.75%	-19.74%	-9.93%	-7.68%	-18.49%	-11.91%	-10.94%	-12.13%	-11.70%	-11.18%
Avg Days to Max Increase		5	14	9	10	4	8	7	7	9	5	4
2014 Contract Condition		Yes	Yes			Yes	Yes	Yes			Yes	Yes
Action		Yes	No			Yes	Yes	No			Yes	Yes
High	18.12	17.77	17.53	18.00	19.26	18.08	17.40	16.73	18.13	18.57	18.15	18.28
Low	17.35	16.68	16.62	16.78	17.91	17.29	16.21	15.24	15.89	17.05	17.18	16.95
Close/Last	17.69	17.19	16.76	17.98	18.05	17.30	16.73	16.03	17.79	18.13	17.72	17.38