MRCI's ScenarioSM Study

ScenarioSM Study for October Sugar #11(ICE) as of Oct 20, 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	22	21	19	19	18	18	25	22	17
Exceeded High		17	17	19	17	15	18	12	16	20	19	14
Scenario Percentage		65%	71%	86%	81%	79%	95%	67%	89%	80%	86%	82%
Avg Max Increase		10.96%	12.41%	13.11%	13.26%	10.82%	12.53%	20.77%	18.46%	13.66%	11.31%	13.94%
Max Increase		32.35%	43.27%	73.08%	38.68%	40.03%	67.91%	55.89%	65.50%	37.14%	38.83%	37.57%
Avg Days To Max Increase		15	14	14	16	14	18	21	20	16	13	18
Avg Max Decline		-3.00%	-2.66%	-2.71%	-3.32%	-0.95%	-4.33%	-1.91%	-2.49%	-4.74%	-4.95%	-1.69%
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		7	10	6	10	6	9	3	7	6	11	4
2019 Contract Condition		Yes			Yes	Yes				Yes
Action		No			Yes	No				No

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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	22	24	26	26	27	27	20	22	28
Penetrated Low		15	16	20	18	21	22	22	23	15	16	21
Scenario Percentage		83%	76%	91%	75%	81%	85%	81%	85%	75%	73%	75%
Avg Max Decline		5.84%	8.43%	11.17%	12.75%	16.10%	15.36%	13.55%	14.42%	19.92%	18.23%	11.89%
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	15	18	20	24	21	16	20	20	24	22
Avg Max Increase		-3.32%	-1.45%	-3.15%	-2.74%	-3.20%	-3.26%	-2.61%	-3.56%	-4.39%	-4.75%	-3.04%
Max Increase		-10.34%	-5.83%	-17.43%	-10.79%	-9.09%	-13.18%	-10.78%	-12.52%	-21.36%	-11.85%	-10.36%
Avg Days to Max Increase		13	7	11	6	6	9	5	12	7	11	7
2019 Contract Condition			Yes	Yes			Yes	Yes	Yes		Yes	Yes
Action			Yes	Yes			Yes	Yes	Yes		Yes	Yes
High	12.95	14.35	13.88	13.52	13.72	13.96	13.53	13.33	12.75	12.95	12.82	12.22
Low	11.45	11.65	12.84	12.53	12.29	12.95	12.69	12.66	11.82	12.29	11.39	11.05
Close/Last	11.74	13.54	13.30	12.53	13.37	13.44	12.95	12.69	12.43	12.62	12.21	11.14