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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 Dec 30, 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 21 21 19 20 19 25 23 18
Exceeded High   18 19 21 17 17 18 14 17 21 19 15
Scenario Percentage   69% 76% 88% 81% 81% 95% 70% 89% 84% 83% 83%
Avg Max Increase   14.79% 15.01% 18.40% 17.49% 10.73% 12.53% 20.65% 19.56% 16.24% 13.57% 13.23%
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   16 15 14 16 13 18 20 22 16 13 16
Avg Max Decline   -3.11% -2.40% -3.02% -3.56% -0.82% -4.33% -1.98% -3.05% -4.60% -4.82% -1.36%
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 9 5 7 6 11 4
2016 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes   Yes
Action   Yes No No   Yes Yes 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   18 20 21 24 24 26 25 26 20 21 27
Penetrated Low   14 14 19 18 19 20 21 22 16 14 20
Scenario Percentage   78% 70% 90% 75% 79% 77% 84% 85% 80% 67% 74%
Avg Max Decline   5.31% 8.76% 11.66% 12.59% 15.87% 16.19% 14.06% 15.31% 18.86% 19.45% 12.28%
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 20 16 20 20 25 23
Avg Max Increase   -3.41% -1.46% -3.29% -2.66% -3.25% -3.42% -2.66% -3.53% -5.34% -4.58% -3.08%
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 6 6 9 4 12 8 9 8
2016 Contract Condition         Yes           Yes  
Action         Yes           No  
High 12.93 14.12 14.98 14.98 14.68 14.32 16.68 16.67 17.82 21.22 21.10 20.94
Low 11.54 12.86 13.49 13.70 13.19 12.92 14.10 14.55 15.93 17.34 18.71 18.73
Close/Last 12.87 13.96 14.16 14.68 13.24 14.31 15.61 16.59 17.66 20.33 19.05 20.06

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