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