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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, 2018
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   24 16 24 26 27 24 21 18 18 19 22
Exceeded High   17 14 21 18 19 21 18 14 14 16 17
Scenario Percentage   71% 88% 88% 69% 70% 88% 86% 78% 78% 84% 77%
Avg Max Increase   13.10% 18.99% 17.04% 13.22% 15.97% 19.04% 16.84% 10.83% 17.09% 20.19% 15.95%
Max Increase   43.91% 72.39% 114.46% 37.41% 64.53% 125.95% 59.36% 44.38% 81.05% 68.80% 42.03%
Avg Days To Max Increase   18 20 16 15 16 14 14 14 18 18 20
Avg Max Decline   -3.73% -2.67% -2.39% -2.23% -2.58% -3.29% -3.77% -2.61% -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   9 10 9 8 6 7 11 9 10 6 3
2017 Contract Condition     Yes Yes     Yes Yes        
Action     Yes No     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   21 28 20 19 18 21 23 27 27 26 23
Penetrated Low   14 18 15 13 12 19 19 20 21 22 20
Scenario Percentage   67% 64% 75% 68% 67% 90% 83% 74% 78% 85% 87%
Avg Max Decline   13.34% 12.66% 8.70% 7.12% 9.57% 13.17% 13.27% 18.37% 17.22% 14.82% 11.96%
Max Decline   32.01% 30.34% 21.05% 15.18% 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 22 17 18
Avg Max Increase   -1.87% -2.81% -5.01% -3.15% -1.92% -3.46% -3.20% -3.50% -3.61% -2.99% -2.19%
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 14 9 10 4 9 7 7 10 6 4
2017 Contract Condition   Yes     Yes Yes     Yes Yes Yes Yes
Action   No     Yes Yes     Yes Yes Yes Yes
High 19.13 19.20 20.05 22.09 21.99 21.16 18.99 20.64 20.81 19.62 17.26 16.59
Low 17.00 18.05 18.15 19.11 20.53 18.43 17.44 18.87 18.98 16.78 15.35 14.73
Close/Last 18.50 18.38 19.48 21.31 20.56 18.66 18.85 20.20 19.06 16.88 16.13 14.87

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