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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Cocoa(NYBOT) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
18 |
17 |
22 |
25 |
26 |
22 |
16 |
18 |
22 |
16 |
19 |
| Exceeded High |
14 |
16 |
17 |
18 |
19 |
16 |
13 |
13 |
15 |
12 |
13 |
| Scenario Percentage |
78% |
94% |
77% |
72% |
73% |
73% |
81% |
72% |
68% |
75% |
68% |
| Avg Max Increase |
12.26% |
13.30% |
12.59% |
14.79% |
12.16% |
12.28% |
10.70% |
10.76% |
15.28% |
9.46% |
7.83% |
| Max Increase |
35.46% |
45.34% |
27.78% |
38.29% |
33.68% |
27.14% |
21.83% |
26.12% |
58.58% |
18.90% |
21.64% |
| Avg Days To Max Increase |
15 |
18 |
18 |
15 |
15 |
15 |
14 |
12 |
12 |
9 |
9 |
| Avg Max Decline |
-2.35% |
-4.00% |
-2.40% |
-3.34% |
-2.30% |
-3.42% |
-1.60% |
-3.61% |
-3.33% |
-1.87% |
-1.08% |
| Max Decline |
-13.61% |
-10.55% |
-13.93% |
-12.19% |
-9.23% |
-9.09% |
-9.66% |
-9.48% |
-13.27% |
-7.77% |
-2.40% |
| Avg Days to Max Decline |
4 |
13 |
8 |
8 |
7 |
9 |
4 |
10 |
8 |
6 |
3 |
| 2002 Contract Condition |
|
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
|
|
|
|
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
27 |
28 |
23 |
20 |
19 |
23 |
29 |
27 |
23 |
29 |
26 |
| Penetrated Low |
22 |
23 |
15 |
16 |
17 |
18 |
22 |
18 |
20 |
22 |
18 |
| Scenario Percentage |
81% |
82% |
65% |
80% |
89% |
78% |
76% |
67% |
87% |
76% |
69% |
| Avg Max Decline |
9.24% |
8.72% |
8.28% |
6.91% |
8.56% |
8.49% |
7.63% |
8.58% |
10.78% |
9.21% |
16.93% |
| Max Decline |
23.71% |
25.54% |
21.86% |
24.75% |
17.63% |
16.13% |
13.12% |
19.34% |
27.04% |
26.24% |
51.01% |
| Avg Days To Max Decline |
19 |
19 |
15 |
17 |
19 |
21 |
16 |
18 |
14 |
13 |
11 |
| Avg Max Increase |
-1.96% |
-1.50% |
-2.12% |
-1.72% |
-3.51% |
-2.45% |
-2.97% |
-3.16% |
-3.15% |
-1.06% |
-1.96% |
| Max Increase |
-5.65% |
-9.62% |
-7.06% |
-7.87% |
-14.30% |
-9.27% |
-14.18% |
-11.63% |
-15.13% |
-6.83% |
-8.33% |
| Avg Days to Max Increase |
9 |
6 |
8 |
10 |
13 |
13 |
8 |
12 |
9 |
5 |
5 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
No |
|
|
No |
|
No |
|
|
| High |
1090 |
1084 |
989 |
961 |
1045 |
1100 |
1130 |
1365 |
1344 |
1422 |
1499 |
| Low |
1008 |
961 |
892 |
882 |
927 |
906 |
980 |
991 |
1212 |
1260 |
1337 |
| Close/Last |
1026 |
961 |
959 |
944 |
964 |
1078 |
1018 |
1339 |
1310 |
1344 |
1466 |
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