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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Orange Juice(ICE) as of Nov 09, 2020
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   41 43 44 45 45 45 45 45 45 45 45
Closed Higher   21 25 14 17 16 27 18 28 17 23 24
Exceeded High   17 16 9 7 12 21 14 17 14 16 10
Scenario Percentage   81% 64% 64% 41% 75% 78% 78% 61% 82% 70% 42%
Avg Max Increase   9.00% 10.44% 11.20% 11.56% 10.10% 10.22% 12.53% 10.29% 10.84% 7.56% 6.31%
Max Increase   25.83% 31.05% 27.04% 17.51% 28.55% 29.71% 34.95% 28.29% 21.34% 22.84% 15.65%
Avg Days To Max Increase   17 14 14 15 16 19 21 17 13 10 7
Avg Max Decline   -0.97% -1.54% -1.42% -1.96% -1.85% -3.76% -1.92% -3.87% -3.02% -2.16% 0.30%
Max Decline   -5.19% -5.68% -9.68% -7.24% -9.57% -14.88% -11.94% -22.29% -13.63% -10.16% -0.82%
Avg Days to Max Decline   8 11 4 7 4 13 6 10 10 5 1
2020 Contract Condition     Yes       Yes   Yes Yes    
Action     Yes       Yes   Yes No    
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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   41 43 44 45 45 45 45 45 45 45 45
Closed Lower   20 17 29 27 29 18 26 17 28 22 21
Penetrated Low   15 12 26 20 21 14 19 12 21 14 6
Scenario Percentage   75% 71% 90% 74% 72% 78% 73% 71% 75% 64% 29%
Avg Max Decline   7.64% 11.80% 10.04% 9.06% 8.77% 11.58% 9.97% 10.52% 8.01% 8.95% 5.30%
Max Decline   17.23% 19.76% 24.45% 23.27% 21.94% 37.36% 29.35% 21.93% 12.67% 15.53% 9.72%
Avg Days To Max Decline   22 20 18 14 22 20 19 22 17 11 6
Avg Max Increase   -2.27% -2.65% -2.45% -1.97% -4.03% -2.59% -4.01% -3.78% -4.10% -2.69% -1.11%
Max Increase   -6.39% -13.40% -12.46% -5.56% -11.67% -11.00% -12.38% -21.66% -10.04% -10.37% -3.44%
Avg Days to Max Increase   14 12 8 7 10 13 11 12 11 8 2
2020 Contract Condition   Yes   Yes Yes Yes   Yes     Yes Yes
Action   Yes   Yes Yes No   No     Yes Yes
High 118.95 116.20 111.95 112.45 109.45 108.40 121.50 120.10 128.65 132.00 130.90 124.15
Low 110.40 109.20 109.30 107.00 104.45 98.50 99.30 107.10 112.85 118.15 118.75 111.10
Close/Last 113.90 109.90 110.25 108.40 106.60 101.80 120.80 112.45 123.50 128.40 121.75 113.80

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