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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, 2016
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 23 27 28 24 22 18 17 18 21
Exceeded High   18 14 21 19 21 22 18 14 13 15 16
Scenario Percentage   72% 88% 91% 70% 75% 92% 82% 78% 76% 83% 76%
Avg Max Increase   12.82% 18.19% 16.61% 15.83% 18.72% 19.64% 17.72% 10.36% 17.28% 19.65% 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 14 13 17 17 20
Avg Max Decline   -3.61% -2.97% -2.46% -2.08% -2.66% -3.41% -3.88% -2.49% -4.96% -3.22% -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 12 9 10 6 3
2015 Contract Condition               Yes     Yes  
Action               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 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 21 18 17 21 22 27 28 27 24
Penetrated Low   13 18 16 12 11 19 18 20 22 23 21
Scenario Percentage   65% 64% 76% 67% 65% 90% 82% 74% 79% 85% 88%
Avg Max Decline   13.65% 12.43% 8.20% 6.45% 9.85% 13.17% 13.85% 17.93% 17.23% 14.85% 11.98%
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   20 16 15 15 18 20 21 23 21 17 18
Avg Max Increase   -2.01% -2.59% -4.70% -3.17% -2.02% -3.46% -3.23% -3.69% -3.66% -2.89% -2.11%
Max Increase   -5.34% -6.75% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.77% -11.70% -11.18%
Avg Days to Max Increase   5 13 9 10 4 9 7 7 10 5 4
2015 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
Action   Yes Yes Yes Yes Yes Yes   Yes Yes   Yes
High 19.74 19.36 18.90 18.44 17.53 16.86 16.32 16.40 15.38 14.11 13.50 13.60
Low 18.55 18.46 17.85 16.35 16.51 16.12 15.21 14.79 13.98 12.03 12.09 11.83
Close/Last 19.23 18.52 18.13 16.92 16.62 16.18 15.25 15.33 14.05 12.06 13.18 11.98

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