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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 21, 2022
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   23 14 24 25 27 24 23 17 17 17 23
Exceeded High   17 13 21 17 19 21 20 13 13 14 18
Scenario Percentage   74% 93% 88% 68% 70% 88% 87% 76% 76% 82% 78%
Avg Max Increase   9.42% 15.19% 11.30% 10.26% 12.44% 13.96% 13.45% 11.24% 17.46% 19.88% 15.19%
Max Increase   25.74% 44.68% 37.06% 29.29% 46.30% 73.94% 49.43% 44.38% 81.05% 68.80% 42.03%
Avg Days To Max Increase   16 21 15 15 16 14 14 15 19 18 19
Avg Max Decline   -3.61% -2.18% -2.25% -2.36% -2.56% -2.85% -3.27% -2.79% -5.33% -3.23% -1.43%
Max Decline   -13.66% -7.11% -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 10 7 6 7 10 11 11 5 2
2021 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes Yes
Action   Yes Yes Yes   Yes Yes Yes Yes   Yes Not Yet
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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   22 30 20 20 18 21 21 28 28 28 22
Penetrated Low   16 20 13 13 12 19 17 21 24 22 18
Scenario Percentage   73% 67% 65% 65% 67% 90% 81% 75% 86% 79% 82%
Avg Max Decline   12.72% 11.86% 8.81% 7.12% 9.88% 11.43% 12.77% 18.50% 14.94% 13.43% 11.37%
Max Decline   32.01% 30.34% 21.05% 15.18% 22.89% 24.18% 25.21% 36.14% 33.52% 35.21% 26.75%
Avg Days To Max Decline   20 18 15 15 18 19 22 23 21 17 18
Avg Max Increase   -2.07% -3.09% -4.81% -3.15% -2.17% -3.66% -3.33% -3.38% -3.23% -2.79% -1.86%
Max Increase   -6.99% -9.38% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.77% -11.70% -5.69%
Avg Days to Max Increase   7 14 9 10 4 9 8 6 9 6 4
2021 Contract Condition         Yes         Yes    
Action         No         Yes    
High 12.59 12.68 13.07 13.05 13.59 13.79 14.25 15.13 16.73 16.10 17.79 18.25
Low 11.43 11.60 12.47 12.20 12.64 12.73 13.23 14.14 14.62 14.68 14.67 16.54
Close/Last 12.00 12.61 12.79 12.90 12.82 13.31 14.19 14.60 15.85 14.77 16.98 17.36

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