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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 Jan 01, 2019
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   40 42 44 45 45 45 45 45 45 45 45
Closed Higher   22 24 14 18 16 25 20 27 17 25 25
Exceeded High   18 16 9 8 12 20 15 16 15 17 10
Scenario Percentage   82% 67% 64% 44% 75% 80% 75% 59% 88% 68% 40%
Avg Max Increase   8.77% 10.48% 11.20% 10.38% 10.10% 10.41% 12.14% 10.87% 10.81% 7.43% 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 14 16 19 21 18 14 11 7
Avg Max Decline   -0.98% -1.56% -1.42% -1.72% -1.85% -3.38% -1.81% -4.05% -2.92% -2.11% 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   10 11 4 7 4 13 6 12 10 5 1
2018 Contract Condition   Yes Yes   Yes     Yes Yes   Yes  
Action   Yes No   No     Yes No   Not Yet  
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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   40 42 44 45 45 45 45 45 45 45 45
Closed Lower   18 17 29 26 29 20 24 18 28 20 19
Penetrated Low   13 12 26 18 22 16 18 13 20 12 5
Scenario Percentage   72% 71% 90% 69% 76% 80% 75% 72% 71% 60% 26%
Avg Max Decline   7.96% 11.80% 10.17% 9.40% 8.13% 10.50% 10.19% 9.98% 7.86% 8.83% 5.82%
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 19 14 20 18 20 21 17 12 7
Avg Max Increase   -2.19% -2.65% -2.54% -2.03% -3.58% -2.22% -4.19% -3.46% -4.16% -2.97% -1.18%
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   13 12 10 8 10 12 12 11 12 9 2
2018 Contract Condition       Yes   Yes Yes     Yes   Yes
Action       No   Yes No     Yes   Not Yet
High 157.60 161.90 163.80 161.70 153.00 152.50 143.80 155.80 172.20 167.55 172.00 170.00
Low 144.75 153.70 153.50 136.10 137.25 141.50 136.95 138.15 155.35 155.50 160.50 151.60
Close/Last 152.85 155.85 159.60 140.15 151.60 144.65 141.70 155.80 162.25 160.35 167.40 157.85

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