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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, 2015
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 25 24 22 21 19 19 18 24 24 18
Exceeded High   18 20 22 18 17 18 14 16 21 20 15
Scenario Percentage   67% 80% 92% 82% 81% 95% 74% 89% 88% 83% 83%
Avg Max Increase   14.76% 15.26% 18.37% 17.00% 10.52% 12.31% 18.99% 19.52% 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   17 15 14 17 14 18 20 21 17 13 15
Avg Max Decline   -2.99% -2.49% -2.85% -3.64% -0.88% -4.16% -2.12% -3.13% -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 8 7 10 4
2014 Contract Condition   Yes       Yes Yes          
Action   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 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 20 21 23 24 26 26 27 21 20 27
Penetrated Low   13 14 18 17 19 20 22 22 16 13 21
Scenario Percentage   76% 70% 86% 74% 79% 77% 85% 81% 76% 65% 78%
Avg Max Decline   5.03% 8.89% 11.94% 13.19% 15.55% 16.31% 13.83% 15.11% 18.86% 20.25% 12.17%
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 18 19 20 23 20 15 19 20 25 23
Avg Max Increase   -3.62% -1.26% -3.11% -2.66% -3.57% -3.14% -2.66% -3.30% -5.34% -4.90% -3.00%
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 10 5 6 8 4 10 8 10 7
2014 Contract Condition     Yes Yes Yes     Yes Yes Yes Yes Yes
Action     Yes Yes No     Yes Yes Yes Yes Yes
High 18.25 19.43 18.27 17.66 17.04 18.36 18.84 18.67 18.91 18.81 18.04 17.26
Low 17.05 18.16 17.58 16.57 15.72 16.36 17.49 17.77 17.79 17.47 16.42 15.30
Close/Last 18.23 18.24 17.58 17.05 16.47 18.09 18.55 18.35 18.19 18.01 16.46 15.49

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