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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, 2019
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 24 23 21 19 19 19 19 25 23 18
Exceeded High   18 17 20 17 15 18 13 17 21 20 14
Scenario Percentage   69% 71% 87% 81% 79% 95% 68% 89% 84% 87% 78%
Avg Max Increase   11.80% 12.41% 18.55% 16.53% 10.82% 12.53% 20.86% 19.39% 16.24% 12.60% 12.93%
Max Increase   32.35% 43.27% 121.90% 60.02% 40.03% 67.91% 55.89% 65.50% 67.94% 44.66% 33.32%
Avg Days To Max Increase   16 14 14 16 14 18 20 20 16 11 15
Avg Max Decline   -3.17% -2.66% -2.61% -3.56% -0.95% -4.33% -1.96% -2.53% -4.60% -4.10% -1.16%
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   8 10 6 9 6 9 5 6 6 8 4
2018 Contract Condition   Yes Yes           Yes     Yes
Action   Yes 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   18 21 21 24 26 26 26 26 20 21 27
Penetrated Low   15 15 19 18 21 21 21 22 15 15 18
Scenario Percentage   83% 71% 90% 75% 81% 81% 81% 85% 75% 71% 67%
Avg Max Decline   5.84% 8.49% 11.66% 12.75% 16.10% 15.68% 13.86% 14.70% 19.92% 18.19% 12.60%
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 20 22 22
Avg Max Increase   -3.32% -1.43% -3.29% -2.74% -3.20% -3.28% -2.71% -3.53% -4.39% -4.58% -2.56%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -11.85% -6.33%
Avg Days to Max Increase   13 7 11 6 6 9 5 12 7 10 6
2018 Contract Condition         Yes Yes Yes Yes   Yes Yes  
Action         Yes Yes Yes No   Yes Yes  
High 15.72 15.16 15.49 15.31 15.43 14.50 14.20 13.01 13.08 13.18 12.24 11.13
Low 14.46 14.41 14.67 13.77 13.76 13.38 12.76 11.23 11.51 11.91 10.45 9.91
Close/Last 14.75 15.14 15.21 15.21 14.06 13.81 12.87 11.99 13.02 12.25 10.55 10.60

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