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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 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 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 15 24 27 28 24 21 19 18 19 22
Exceeded High   18 13 22 19 20 21 18 15 14 16 17
Scenario Percentage   72% 87% 92% 70% 71% 88% 86% 79% 78% 84% 77%
Avg Max Increase   12.82% 19.42% 16.67% 15.80% 18.52% 19.59% 17.72% 10.98% 17.09% 20.19% 15.95%
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 14 18 18 20
Avg Max Decline   -3.61% -2.72% -2.35% -2.26% -2.54% -3.58% -3.88% -2.29% -5.14% -3.31% -1.46%
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 11 9 8 5 7 12 9 10 6 3
2016 Contract Condition       Yes Yes Yes Yes   Yes Yes Yes Yes
Action       Yes Yes No No   Yes Yes Yes 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 29 20 18 17 21 23 26 27 26 23
Penetrated Low   14 19 15 12 11 19 19 19 21 22 20
Scenario Percentage   70% 66% 75% 67% 65% 90% 83% 73% 78% 85% 87%
Avg Max Decline   13.34% 12.05% 8.70% 6.45% 9.85% 13.17% 13.27% 18.32% 17.69% 14.99% 12.22%
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 17 16 15 18 20 21 23 21 17 18
Avg Max Increase   -1.87% -2.69% -5.01% -3.17% -2.02% -3.46% -3.20% -3.53% -3.61% -2.96% -2.25%
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
2016 Contract Condition   Yes Yes         Yes        
Action   Yes Yes         Yes        
High 14.10 13.97 12.55 12.79 14.10 14.99 14.98 14.62 14.22 16.63 16.40 17.70
Low 13.35 12.51 11.50 11.37 12.71 13.42 13.64 13.02 12.68 13.99 14.28 15.55
Close/Last 13.81 12.53 11.99 12.72 13.93 14.16 14.64 13.05 14.20 15.45 16.32 17.49

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