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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Coffee "C"(ICE) as of Jan 21, 2022
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   23 18 17 22 20 12 18 24 16 22 23
Exceeded High   16 15 11 15 11 9 15 19 15 19 16
Scenario Percentage   70% 83% 65% 68% 55% 75% 83% 79% 94% 86% 70%
Avg Max Increase   17.08% 11.59% 13.81% 17.35% 18.17% 15.01% 9.29% 10.56% 15.55% 16.53% 10.99%
Max Increase   60.95% 25.31% 58.95% 75.81% 102.19% 53.42% 20.58% 38.16% 34.86% 44.71% 27.08%
Avg Days To Max Increase   15 19 18 16 11 15 13 12 15 11 14
Avg Max Decline   -2.20% -3.40% -2.78% -2.39% -2.65% -3.44% -5.40% -3.34% -2.80% -2.36% -1.34%
Max Decline   -7.62% -11.73% -10.40% -11.13% -9.79% -18.36% -20.13% -12.33% -12.69% -9.64% -4.93%
Avg Days to Max Decline   7 12 9 5 8 10 11 10 4 5 4
2021 Contract Condition     Yes   Yes Yes   Yes Yes   Yes Yes
Action     Yes   Yes Yes   No 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   22 27 28 23 25 33 27 21 29 23 22
Penetrated Low   19 24 22 20 21 29 21 17 22 20 14
Scenario Percentage   86% 89% 79% 87% 84% 88% 78% 81% 76% 87% 64%
Avg Max Decline   8.76% 8.70% 7.42% 12.71% 13.97% 11.27% 9.90% 9.38% 11.25% 10.00% 6.89%
Max Decline   19.81% 20.31% 15.48% 33.87% 34.05% 27.40% 19.83% 22.36% 29.23% 25.29% 13.93%
Avg Days To Max Decline   17 18 18 21 20 16 19 18 14 13 11
Avg Max Increase   -2.50% -2.42% -3.95% -4.09% -2.69% -3.94% -5.17% -5.70% -3.42% -3.22% -1.13%
Max Increase   -9.34% -8.94% -11.74% -19.50% -9.15% -36.22% -19.40% -14.83% -13.39% -13.90% -5.00%
Avg Days to Max Increase   5 8 14 11 10 6 9 10 9 11 2
2021 Contract Condition   Yes   Yes     Yes     Yes    
Action   No   Yes     Yes     No    
High 135.50 139.20 145.25 144.55 151.80 167.85 171.35 217.85 201.55 199.75 215.15 247.55
Low 123.00 126.50 128.10 126.95 126.90 143.95 152.05 150.65 174.50 182.00 191.30 198.70
Close/Last 134.80 130.75 142.25 129.65 145.75 167.00 162.65 182.45 195.90 194.00 203.95 233.25

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