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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, 2018
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   25 24 24 21 20 19 20 19 25 24 17
Exceeded High   17 18 21 17 16 18 14 17 21 20 14
Scenario Percentage   68% 75% 88% 81% 80% 95% 70% 89% 84% 83% 82%
Avg Max Increase   12.36% 12.58% 17.83% 16.53% 10.59% 12.53% 20.65% 19.56% 16.24% 12.94% 13.59%
Max Increase   32.35% 43.27% 121.90% 60.02% 40.03% 67.91% 55.89% 65.50% 67.94% 44.66% 37.47%
Avg Days To Max Increase   16 14 14 16 14 18 20 22 16 11 17
Avg Max Decline   -3.18% -2.47% -2.67% -3.56% -1.02% -4.33% -1.98% -3.05% -4.60% -4.10% -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 10 5 9 6 9 5 7 6 8 4
2017 Contract Condition       Yes Yes           Yes  
Action       Yes 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   19 21 21 24 25 26 25 26 20 20 28
Penetrated Low   15 15 19 18 20 20 21 22 15 14 20
Scenario Percentage   79% 71% 90% 75% 80% 77% 84% 85% 75% 70% 71%
Avg Max Decline   5.84% 8.49% 11.66% 12.59% 15.97% 15.83% 13.86% 14.70% 19.23% 19.25% 12.11%
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 24 21 15 20 19 24 22
Avg Max Increase   -3.32% -1.43% -3.29% -2.66% -3.22% -3.39% -2.71% -3.53% -5.18% -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 5 12 8 9 8
2017 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes   Yes
Action   Yes Yes     Yes Yes Yes Yes No   Not Yet
High 21.32 21.31 20.57 18.74 20.14 20.50 19.56 17.44 16.77 15.27 14.99 15.16
Low 18.84 20.10 18.11 17.47 18.63 19.01 17.05 15.63 15.05 12.74 13.21 12.92
Close/Last 20.72 20.15 18.33 18.65 20.03 19.05 17.11 16.32 15.13 13.81 14.91 14.40

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