MRCI's ScenarioSM Study

ScenarioSM Study for October Sugar #11(ICE) as of Dec 27, 2023
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		23	24	24	23	20	19	18	21	27	24	19
Exceeded High		15	18	21	19	16	18	12	18	22	21	15
Scenario Percentage		65%	75%	88%	83%	80%	95%	67%	86%	81%	88%	79%
Avg Max Increase		9.85%	13.04%	13.45%	13.13%	12.50%	12.47%	20.55%	17.75%	13.55%	10.50%	12.29%
Max Increase		27.99%	43.27%	73.08%	38.68%	40.03%	67.91%	55.89%	65.50%	37.14%	38.73%	37.47%
Avg Days To Max Increase		14	15	15	17	16	19	21	21	16	12	17
Avg Max Decline		-3.30%	-2.27%	-2.62%	-2.65%	-1.32%	-4.25%	-2.09%	-2.54%	-4.86%	-4.05%	-1.81%
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	9	6	8	8	9	3	7	7	9	5
2023 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action			Yes	Yes	Yes	Yes	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		21	21	20	22	25	26	27	24	18	20	26
Penetrated Low		15	16	18	15	20	22	21	20	13	15	19
Scenario Percentage		71%	76%	90%	68%	80%	85%	78%	83%	72%	75%	73%
Avg Max Decline		5.97%	8.35%	10.47%	11.47%	16.06%	13.68%	11.89%	13.12%	18.70%	15.34%	10.88%
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	22	24	21	15	20	18	22	22
Avg Max Increase		-3.68%	-1.84%	-3.29%	-2.97%	-3.27%	-3.02%	-2.74%	-3.11%	-4.62%	-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	12	9	11	7
2023 Contract Condition		Yes							Yes	Yes
Action		No							Yes	No
High	17.46	17.38	18.12	18.23	19.25	19.71	21.55	26.43	26.39	26.19	25.30	25.90
Low	16.51	16.23	16.38	17.41	17.24	18.75	19.43	21.49	24.37	21.88	22.78	23.08
Close/Last	16.57	16.33	17.74	17.82	19.21	19.47	21.47	26.01	24.74	22.79	24.11	25.06