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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Sugar #11(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 26 24 22 21 19 20 19 25 24 18
Exceeded High   19 20 22 18 17 18 14 17 21 20 15
Scenario Percentage   70% 77% 92% 82% 81% 95% 70% 89% 84% 83% 83%
Avg Max Increase   14.53% 15.26% 18.37% 17.00% 11.11% 12.66% 18.99% 18.63% 16.38% 13.27% 12.19%
Max Increase   56.25% 58.71% 121.90% 60.02% 40.03% 67.91% 55.89% 65.50% 67.94% 44.66% 37.57%
Avg Days To Max Increase   18 15 14 17 14 18 20 21 17 13 15
Avg Max Decline   -3.16% -2.49% -2.85% -3.64% -0.86% -4.05% -2.12% -3.06% -4.69% -4.58% -1.46%
Max Decline   -7.70% -8.54% -10.66% -8.60% -7.38% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   9 9 6 9 6 8 5 7 7 10 4
2013 Contract Condition     Yes Yes           Yes Yes  
Action     Yes Yes           No 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 19 21 23 24 26 25 26 20 20 27
Penetrated Low   13 13 17 17 19 20 21 21 15 13 20
Scenario Percentage   76% 68% 81% 74% 79% 77% 84% 81% 75% 65% 74%
Avg Max Decline   5.03% 8.76% 12.19% 13.19% 15.55% 16.31% 14.26% 15.37% 19.12% 20.59% 12.08%
Max Decline   13.89% 20.90% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   15 17 18 20 23 20 16 19 20 25 23
Avg Max Increase   -3.62% -1.33% -3.29% -2.66% -3.57% -3.14% -2.64% -3.30% -5.69% -4.72% -3.03%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -9.51% -10.36%
Avg Days to Max Increase   13 7 11 5 6 8 4 9 9 10 8
2013 Contract Condition   Yes     Yes Yes Yes Yes Yes     Yes
Action   Yes     Yes Yes Yes Yes Yes     Not Yet
High 21.36 21.83 20.15 20.13 20.20 19.62 19.25 18.32 18.21 17.49 17.08 17.29
Low 20.11 19.35 19.13 18.98 18.91 18.25 18.04 17.64 16.86 16.48 15.93 16.26
Close/Last 20.82 19.61 19.71 20.06 19.54 18.90 18.15 17.97 16.90 16.92 16.97 16.34

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