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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(ICE) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   16 20 19 28 23 19 21 27 24 22 24
Exceeded High   15 14 17 22 19 18 18 20 18 16 13
Scenario Percentage   94% 70% 89% 79% 83% 95% 86% 74% 75% 73% 54%
Avg Max Increase   13.05% 19.51% 14.87% 12.48% 10.81% 15.35% 15.64% 12.10% 14.23% 12.78% 10.29%
Max Increase   60.89% 50.21% 53.74% 37.55% 36.29% 54.24% 46.28% 31.42% 51.41% 34.40% 33.80%
Avg Days To Max Increase   20 23 20 20 17 19 18 14 17 15 13
Avg Max Decline   -3.98% -1.52% -2.05% -3.53% -4.51% -3.35% -3.02% -3.68% -4.25% -3.66% -2.12%
Max Decline   -11.88% -5.36% -13.62% -15.38% -13.02% -12.93% -8.44% -13.12% -12.69% -8.18% -5.02%
Avg Days to Max Decline   9 3 5 7 9 9 8 7 13 8 3
2021 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action       Yes Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   28 24 26 17 22 26 24 18 21 22 21
Penetrated Low   23 18 21 13 16 18 17 11 16 17 14
Scenario Percentage   82% 75% 81% 76% 73% 69% 71% 61% 76% 77% 67%
Avg Max Decline   12.09% 11.72% 11.68% 14.50% 14.53% 13.25% 10.83% 9.09% 12.13% 12.82% 8.34%
Max Decline   26.02% 29.09% 24.89% 26.60% 36.32% 31.31% 23.57% 18.31% 30.22% 25.12% 18.52%
Avg Days To Max Decline   20 17 19 18 20 17 14 17 15 16 15
Avg Max Increase   -2.33% -1.90% -2.61% -2.26% -2.78% -3.48% -5.01% -5.34% -2.82% -4.45% -2.67%
Max Increase   -10.78% -8.81% -10.03% -11.84% -9.32% -9.89% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   7 4 9 8 10 11 7 12 3 7 3
2021 Contract Condition   Yes Yes                  
Action   Yes No                  
High 15.10 14.61 11.60 11.92 13.00 13.27 13.77 13.65 15.04 15.66 15.53 16.75
Low 14.28 11.12 10.29 10.98 11.59 12.00 12.99 12.44 13.31 14.23 14.09 15.40
Close/Last 14.43 11.40 11.32 11.64 12.56 13.20 13.28 13.51 14.36 14.51 15.49 15.83

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