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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 06, 2023
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 25 24 26 25 23 18 18 17 24
Exceeded High   18 13 22 16 18 22 20 14 14 14 18
Scenario Percentage   75% 87% 88% 67% 69% 88% 87% 78% 78% 82% 75%
Avg Max Increase   9.75% 15.17% 10.95% 10.41% 13.15% 13.81% 13.81% 13.08% 16.92% 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 16 15 17 14 15 15 19 18 19
Avg Max Decline   -3.42% -1.88% -2.33% -2.26% -2.42% -2.89% -3.01% -2.60% -5.02% -3.23% -1.43%
Max Decline   -13.66% -4.61% -6.65% -6.47% -9.56% -12.58% -6.77% -8.48% -13.41% -10.07% -5.65%
Avg Days to Max Decline   9 11 10 6 7 7 10 10 10 5 2
2023 Contract Condition     Yes     Yes Yes Yes Yes Yes Yes  
Action     No     Yes Yes Yes Yes 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 19 21 19 20 21 27 27 28 21
Penetrated Low   16 19 13 13 13 18 16 20 23 22 17
Scenario Percentage   76% 66% 68% 62% 68% 90% 76% 74% 85% 79% 81%
Avg Max Decline   10.84% 10.89% 8.20% 7.24% 9.43% 11.74% 12.01% 18.54% 14.97% 13.02% 11.51%
Max Decline   28.57% 25.67% 21.05% 15.18% 22.89% 24.18% 25.21% 36.14% 33.52% 35.21% 26.75%
Avg Days To Max Decline   18 18 17 15 17 19 23 24 21 17 18
Avg Max Increase   -2.08% -3.31% -4.57% -3.66% -2.41% -3.77% -3.54% -3.49% -3.29% -3.00% -2.03%
Max Increase   -6.99% -9.38% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.77% -11.70% -5.71%
Avg Days to Max Increase   7 15 9 11 5 9 8 6 9 7 5
2023 Contract Condition   Yes   Yes Yes             Yes
Action   Yes   Yes No             Yes
High 19.15 18.30 17.49 17.44 17.40 18.37 18.55 19.57 19.89 21.94 26.83 26.74
Low 17.68 16.57 16.36 16.45 16.18 16.35 17.53 17.31 18.83 19.55 21.80 24.61
Close/Last 17.94 16.68 17.04 16.54 16.29 17.93 17.98 19.53 19.58 21.83 26.35 25.06

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