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