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