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MRCI's Scenario Study

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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

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