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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) as of May 17, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 21 25 20 15 23 23 18 23 23 24
Exceeded High   18 18 15 14 14 18 17 17 18 19 14
Scenario Percentage   82% 86% 60% 70% 93% 78% 74% 94% 78% 83% 58%
Avg Max Increase   7.82% 9.99% 8.72% 7.83% 9.16% 9.99% 13.58% 18.03% 15.63% 9.00% 3.43%
Max Increase   26.19% 24.04% 18.94% 25.14% 20.86% 24.73% 56.27% 112.03% 104.55% 25.55% 8.76%
Avg Days To Max Increase   17 14 13 17 16 14 15 17 16 11 9
Avg Max Decline   -2.54% -3.70% -2.51% -3.24% -2.12% -3.30% -3.29% -2.41% -2.78% -4.04% -1.59%
Max Decline   -13.94% -12.03% -7.02% -8.69% -6.67% -9.06% -13.44% -13.28% -7.98% -7.85% -6.60%
Avg Days to Max Decline   11 11 7 8 7 12 7 6 12 6 3
2024 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes Yes Yes
Action   Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 24 20 24 30 22 22 27 22 22 21
Penetrated Low   16 21 15 21 22 17 17 22 20 19 14
Scenario Percentage   70% 88% 75% 88% 73% 77% 77% 81% 91% 86% 67%
Avg Max Decline   7.10% 7.89% 9.17% 9.16% 7.91% 6.03% 7.12% 9.24% 10.70% 9.59% 4.60%
Max Decline   21.79% 24.31% 33.40% 26.03% 19.59% 13.47% 14.62% 19.84% 30.75% 25.76% 13.03%
Avg Days To Max Decline   15 20 20 18 15 15 13 17 19 12 7
Avg Max Increase   -3.33% -2.52% -3.44% -1.66% -2.23% -2.86% -3.64% -2.45% -4.37% -2.76% -1.08%
Max Increase   -7.95% -9.11% -13.43% -5.14% -13.00% -11.04% -13.94% -7.80% -23.79% -8.72% -4.79%
Avg Days to Max Increase   10 12 13 11 6 10 10 9 10 7 2
2024 Contract Condition         Yes     Yes        
Action         Yes     Yes        
High 2996 3304 3524 3673 3735 3883 4257 4294 4803 6648 10080 12261
Low 2829 2949 3220 3298 3385 3378 3792 4062 4003 4759 6093 8651
Close/Last 2952 3294 3495 3633 3406 3825 4242 4162 4754 6049 9766 10133

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