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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of May 21, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 22 16 23 23 17 23 22 21 19 21
Exceeded High   14 16 14 17 19 16 17 17 14 15 15
Scenario Percentage   61% 73% 88% 74% 83% 94% 74% 77% 67% 79% 71%
Avg Max Increase   7.99% 7.76% 8.46% 9.53% 12.03% 11.39% 9.72% 9.29% 9.89% 8.66% 4.70%
Max Increase   21.28% 22.82% 20.03% 24.17% 54.06% 31.15% 31.33% 27.19% 18.86% 16.00% 11.66%
Avg Days To Max Increase   13 17 16 13 14 15 17 16 22 13 8
Avg Max Decline   -2.27% -2.78% -2.22% -2.82% -2.20% -1.72% -2.94% -3.92% -4.13% -4.03% -0.73%
Max Decline   -5.86% -8.37% -6.77% -9.28% -11.07% -4.34% -7.54% -7.72% -8.54% -11.26% -2.44%
Avg Days to Max Decline   5 7 7 8 6 4 13 9 16 9 2
2024 Contract Condition   Yes   Yes Yes   Yes Yes Yes      
Action   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 23 29 22 22 28 22 23 24 26 24
Penetrated Low   15 20 22 17 17 23 20 19 20 21 9
Scenario Percentage   71% 87% 76% 77% 77% 82% 91% 83% 83% 81% 38%
Avg Max Decline   8.99% 9.41% 7.66% 5.68% 7.50% 8.69% 10.57% 11.88% 11.09% 7.93% 5.10%
Max Decline   32.59% 25.41% 19.62% 13.04% 15.30% 19.10% 26.80% 29.45% 31.58% 20.88% 12.00%
Avg Days To Max Decline   20 18 16 16 13 17 19 20 18 12 9
Avg Max Increase   -3.24% -1.35% -2.02% -2.73% -3.18% -2.25% -3.95% -3.28% -3.71% -2.83% -0.12%
Max Increase   -11.50% -4.89% -13.02% -10.78% -11.34% -9.12% -23.79% -12.88% -12.36% -10.76% -3.85%
Avg Days to Max Increase   15 11 7 11 10 7 9 15 11 6 2
2024 Contract Condition     Yes     Yes       Yes Yes  
Action     Yes     Yes       Yes    
High 3491 3657 3707 3840 4218 4230 4733 6307 9553 11722 9487  
Low 3191 3280 3360 3359 3756 4030 3961 4697 5761 7756 6767  
Close/Last 3467 3620 3382 3787 4204 4110 4691 5730 9306 9283 7394  

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