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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 May 10, 2021
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 23 22 19 19 18 19 26 22 17
Exceeded High   16 18 20 18 15 18 12 17 21 19 14
Scenario Percentage   64% 75% 87% 82% 79% 95% 67% 89% 81% 86% 82%
Avg Max Increase   9.62% 12.33% 12.86% 12.79% 10.82% 12.53% 20.77% 18.31% 13.53% 10.16% 13.94%
Max Increase   27.99% 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 15 14 16 14 18 21 20 16 13 18
Avg Max Decline   -3.34% -2.58% -2.70% -3.17% -0.95% -4.33% -1.91% -2.37% -4.79% -4.75% -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   8 10 6 9 6 9 3 6 6 11 4
2020 Contract Condition     Yes Yes Yes       Yes Yes Yes Yes
Action     Yes Yes Yes       Yes Yes Yes Not Yet
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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 23 26 26 27 26 19 22 28
Penetrated Low   15 16 19 17 21 22 21 22 15 16 21
Scenario Percentage   79% 76% 90% 74% 81% 85% 78% 85% 79% 73% 75%
Avg Max Decline   5.84% 8.43% 10.30% 11.55% 16.11% 14.25% 12.33% 13.94% 19.92% 18.23% 11.89%
Max Decline   13.89% 20.90% 21.13% 23.93% 32.58% 29.93% 29.56% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   15 15 19 20 24 21 16 20 20 24 22
Avg Max Increase   -3.32% -1.45% -3.43% -2.62% -3.15% -3.03% -2.54% -3.40% -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 8 5 12 7 11 7
2020 Contract Condition   Yes       Yes Yes Yes        
Action   No       Yes Yes No        
High 13.18 13.30 13.27 13.98 14.66 15.00 14.35 11.05 11.27 12.40 12.72 13.28
Low 12.40 12.55 12.76 13.05 13.55 13.93 10.59 9.52 10.27 10.92 11.27 12.39
Close/Last 13.04 12.95 13.20 13.88 14.30 14.12 10.76 10.63 10.97 11.96 12.64 12.66

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