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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Sugar #11(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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 14 23 26 26 24 22 17 18 17 22
Exceeded High   17 12 20 17 18 21 19 13 14 14 18
Scenario Percentage   74% 86% 87% 65% 69% 88% 86% 76% 78% 82% 82%
Avg Max Increase   10.58% 15.94% 11.52% 10.26% 12.37% 13.18% 13.39% 11.27% 17.09% 20.09% 15.19%
Max Increase   25.74% 44.68% 37.06% 29.29% 46.30% 73.94% 49.43% 44.38% 81.05% 68.80% 42.03%
Avg Days To Max Increase   16 21 15 15 16 13 14 13 18 18 19
Avg Max Decline   -3.70% -1.97% -2.26% -2.36% -2.67% -2.93% -3.45% -2.15% -5.14% -3.04% -1.43%
Max Decline   -13.66% -7.11% -6.65% -6.47% -9.56% -12.58% -8.70% -8.48% -13.41% -10.07% -5.65%
Avg Days to Max Decline   9 11 9 7 6 7 11 8 10 5 2
2020 Contract Condition       Yes   Yes Yes Yes       Yes
Action       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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 30 21 19 19 21 22 28 27 28 23
Penetrated Low   16 20 14 13 13 19 18 21 23 22 19
Scenario Percentage   73% 67% 67% 68% 68% 90% 82% 75% 85% 79% 83%
Avg Max Decline   12.72% 11.86% 8.43% 7.12% 9.47% 11.43% 12.16% 18.50% 15.56% 13.43% 11.35%
Max Decline   32.01% 30.34% 21.05% 15.18% 22.89% 24.18% 25.21% 36.14% 33.52% 35.21% 26.75%
Avg Days To Max Decline   20 18 15 15 16 19 21 23 22 17 18
Avg Max Increase   -2.07% -3.09% -5.23% -3.15% -1.90% -3.66% -3.16% -3.38% -3.32% -2.79% -1.71%
Max Increase   -6.99% -9.38% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.77% -11.70% -5.69%
Avg Days to Max Increase   7 14 10 10 4 9 7 6 9 6 3
2020 Contract Condition   Yes Yes   Yes       Yes Yes Yes  
Action   Yes Yes   No       Yes Yes No  
High 13.90 13.79 13.45 12.99 13.11 13.08 13.78 14.62 15.09 14.30 10.85 11.32
Low 13.41 12.72 12.43 12.10 12.30 12.54 12.87 13.32 13.82 10.41 9.21 10.05
Close/Last 13.68 13.47 12.52 12.85 12.71 13.03 13.66 14.23 14.06 10.50 10.37 10.91

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