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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 Oct 20, 2019
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 15 23 27 26 23 21 17 18 17 21
Exceeded High   18 13 20 18 17 20 18 13 14 14 17
Scenario Percentage   75% 87% 87% 67% 65% 87% 86% 76% 78% 82% 81%
Avg Max Increase   12.43% 20.28% 17.14% 11.76% 12.38% 13.31% 13.80% 11.27% 17.09% 19.01% 12.53%
Max Increase   43.91% 72.39% 114.46% 37.41% 46.30% 73.94% 49.43% 44.38% 81.05% 68.80% 33.17%
Avg Days To Max Increase   17 22 16 15 15 13 14 13 18 15 17
Avg Max Decline   -3.56% -2.50% -2.33% -2.10% -2.75% -2.96% -3.61% -2.15% -5.14% -3.04% -1.47%
Max Decline   -13.66% -8.88% -6.65% -6.47% -9.56% -12.58% -8.70% -8.48% -13.41% -10.07% -5.65%
Avg Days to Max Decline   9 11 9 6 6 7 11 8 10 5 2
2019 Contract Condition         Yes     Yes Yes      
Action         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   21 29 21 18 19 22 23 28 27 28 24
Penetrated Low   15 19 14 13 13 20 19 21 23 23 20
Scenario Percentage   71% 66% 67% 72% 68% 91% 83% 75% 85% 82% 83%
Avg Max Decline   12.89% 12.31% 8.43% 7.12% 9.47% 12.61% 13.33% 18.40% 16.70% 13.83% 10.88%
Max Decline   32.01% 30.34% 21.05% 15.18% 22.89% 35.16% 34.36% 36.14% 38.60% 38.62% 23.68%
Avg Days To Max Decline   20 19 15 15 16 19 22 24 22 16 16
Avg Max Increase   -2.21% -3.19% -5.23% -3.15% -1.90% -3.31% -3.27% -3.49% -3.50% -2.87% -2.00%
Max Increase   -6.99% -9.38% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.77% -11.70% -11.18%
Avg Days to Max Increase   7 14 10 10 4 8 7 7 10 6 3
2019 Contract Condition   Yes Yes Yes   Yes Yes     Yes Yes Yes
Action   Yes Yes No   Yes Yes     Yes Yes Not Yet
High 13.98 13.13 12.28 12.71 14.26 13.69 13.28 13.45 13.60 13.13 13.05 12.39
Low 12.84 11.78 11.28 11.10 11.30 12.58 12.24 11.99 12.54 12.29 12.30 11.36
Close/Last 13.14 11.88 11.62 11.41 13.35 13.06 12.24 13.01 13.03 12.65 12.34 12.10

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