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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, 2016
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   26 25 24 22 20 18 19 18 24 24 17
Exceeded High   18 20 22 17 16 17 13 16 21 20 14
Scenario Percentage   69% 80% 92% 77% 80% 94% 68% 89% 88% 83% 82%
Avg Max Increase   14.76% 15.26% 18.37% 17.49% 10.22% 12.44% 20.10% 19.52% 16.24% 13.27% 12.92%
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 16 13 17 20 21 16 13 16
Avg Max Decline   -2.99% -2.49% -2.85% -3.56% -0.90% -4.19% -1.82% -3.13% -4.60% -4.58% -1.27%
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 4 8 6 10 4
2015 Contract Condition         Yes     Yes   Yes    
Action         No     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   18 20 21 23 25 27 26 27 21 20 28
Penetrated Low   14 14 19 17 20 21 22 23 16 14 21
Scenario Percentage   78% 70% 90% 74% 80% 78% 85% 85% 76% 70% 75%
Avg Max Decline   5.31% 8.76% 11.66% 13.19% 15.48% 15.73% 13.83% 14.86% 18.86% 19.45% 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 16 19 20 23 21 15 20 20 25 23
Avg Max Increase   -3.41% -1.46% -3.29% -2.66% -3.42% -3.45% -2.66% -3.34% -5.34% -4.58% -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 11 5 6 9 4 11 8 9 7
2015 Contract Condition   Yes Yes Yes   Yes Yes   Yes   Yes Yes
Action   Yes Yes Yes   Yes Yes   Yes   Yes Not Yet
High 18.84 17.89 17.21 16.65 16.70 15.80 14.80 13.90 13.90 12.79 12.80 11.19
Low 16.86 16.98 16.45 15.57 15.21 14.64 12.65 12.69 12.16 11.52 11.12 10.13
Close/Last 17.35 17.08 16.53 15.67 15.80 14.72 12.68 13.60 12.28 12.47 11.14 10.69

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