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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 21 22 19 18 23 27 24 24 16 20
Exceeded High   14 15 18 14 16 20 20 15 16 12 11
Scenario Percentage   88% 71% 82% 74% 89% 87% 74% 63% 67% 75% 55%
Avg Max Increase   10.63% 13.74% 13.92% 14.47% 15.64% 12.12% 13.36% 10.67% 10.62% 8.64% 7.78%
Max Increase   23.84% 49.61% 45.37% 39.09% 50.35% 27.94% 39.24% 22.11% 28.13% 24.57% 24.48%
Avg Days To Max Increase   15 20 18 20 16 17 15 14 14 13 9
Avg Max Decline   -2.32% -2.65% -3.64% -3.38% -4.55% -3.38% -4.25% -3.24% -3.39% -3.06% -0.79%
Max Decline   -9.11% -6.90% -6.94% -13.61% -11.33% -13.39% -13.88% -7.99% -9.29% -10.27% -8.68%
Avg Days to Max Decline   7 8 7 9 13 9 9 7 7 7 3
2013 Contract Condition       Yes Yes     Yes Yes Yes Yes Yes
Action       Yes Yes     Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   28 24 23 26 27 22 18 19 21 29 25
Penetrated Low   24 21 20 22 23 12 15 14 20 21 14
Scenario Percentage   86% 88% 87% 85% 85% 55% 83% 74% 95% 72% 56%
Avg Max Decline   8.13% 9.26% 12.12% 10.19% 7.06% 8.77% 8.97% 8.53% 9.29% 6.44% 4.29%
Max Decline   16.73% 24.40% 27.24% 25.77% 17.36% 20.77% 25.69% 16.80% 27.01% 11.52% 12.21%
Avg Days To Max Decline   19 19 21 16 17 18 18 17 19 13 9
Avg Max Increase   -2.08% -3.11% -3.30% -2.40% -3.01% -3.92% -2.90% -5.18% -2.79% -3.08% -2.41%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.04% -14.93% -12.90% -9.98% -6.67%
Avg Days to Max Increase   8 9 11 9 9 8 12 13 12 7 3
2013 Contract Condition   Yes Yes     Yes Yes          
Action   Yes Yes     Yes No          
High 2556 2333 2286 2224 2385 2449 2387 2388 2547 2657 2780 2820
Low 2250 2194 2137 2071 2148 2207 2140 2148 2288 2410 2561 2568
Close/Last 2273 2237 2162 2202 2381 2209 2173 2308 2436 2640 2677 2791

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