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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 Dec 07, 2022
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   24 24 24 22 19 18 17 21 27 23 19
Exceeded High   16 18 20 18 15 17 12 18 22 20 15
Scenario Percentage   67% 75% 83% 82% 79% 94% 71% 86% 81% 87% 79%
Avg Max Increase   9.62% 12.72% 13.59% 13.18% 10.95% 11.84% 20.55% 17.75% 13.55% 10.34% 13.33%
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 15 16 16 18 21 21 16 13 19
Avg Max Decline   -3.34% -2.27% -2.59% -2.67% -1.39% -4.50% -2.09% -2.54% -4.86% -4.56% -1.72%
Max Decline   -7.70% -8.54% -10.66% -7.27% -7.38% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   8 8 6 8 8 9 3 7 7 11 5
2022 Contract Condition       Yes     Yes   Yes     Yes
Action       No     Yes   No     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   20 21 20 23 26 27 28 24 18 21 26
Penetrated Low   15 16 18 16 21 23 22 20 14 15 19
Scenario Percentage   75% 76% 90% 70% 81% 85% 79% 83% 78% 71% 73%
Avg Max Decline   5.97% 8.35% 10.47% 12.18% 16.11% 13.66% 12.04% 13.73% 18.39% 15.53% 11.05%
Max Decline   13.89% 20.90% 21.13% 23.93% 32.58% 29.93% 29.56% 29.16% 30.11% 34.94% 17.80%
Avg Days To Max Decline   15 15 19 21 24 21 16 20 19 22 22
Avg Max Increase   -3.68% -1.84% -3.29% -2.79% -3.15% -2.96% -2.67% -2.97% -4.22% -4.99% -3.35%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -9.52% -21.36% -11.85% -10.36%
Avg Days to Max Increase   14 7 10 6 6 8 6 11 8 11 7
2022 Contract Condition   Yes Yes   Yes Yes   Yes   Yes Yes  
Action   Yes Yes   No No   Yes   Yes Yes  
High 18.99 19.06 19.38 18.75 18.57 18.22 19.54 20.50 20.29 19.89 19.59 18.70
Low 18.10 18.13 17.88 17.71 17.38 17.46 17.61 18.84 18.45 18.13 17.32 17.20
Close/Last 18.67 18.46 17.92 18.36 17.66 17.60 19.34 19.25 19.57 18.50 17.54 17.89

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