|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Cocoa(ICE) as of Jan 07, 2009 |
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 |
17 |
18 |
22 |
26 |
26 |
24 |
15 |
19 |
25 |
16 |
21 |
| Exceeded High |
13 |
17 |
18 |
19 |
19 |
17 |
13 |
14 |
18 |
13 |
15 |
| Scenario Percentage |
76% |
94% |
82% |
73% |
73% |
71% |
87% |
74% |
72% |
81% |
71% |
| Avg Max Increase |
13.23% |
13.17% |
12.23% |
14.23% |
12.16% |
11.60% |
10.29% |
11.69% |
15.70% |
10.86% |
7.69% |
| Max Increase |
35.46% |
45.34% |
27.78% |
38.29% |
33.68% |
27.14% |
21.83% |
26.12% |
58.58% |
25.62% |
23.13% |
| Avg Days To Max Increase |
18 |
18 |
18 |
15 |
15 |
14 |
15 |
13 |
14 |
11 |
10 |
| Avg Max Decline |
-2.83% |
-3.92% |
-2.33% |
-3.62% |
-2.30% |
-3.22% |
-1.65% |
-2.90% |
-3.05% |
-1.81% |
-1.17% |
| Max Decline |
-13.61% |
-10.55% |
-13.93% |
-12.19% |
-9.23% |
-9.09% |
-9.66% |
-9.48% |
-13.27% |
-7.77% |
-4.18% |
| Avg Days to Max Decline |
6 |
12 |
8 |
9 |
7 |
8 |
5 |
8 |
9 |
6 |
3 |
| 2008 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
Yes |
Yes |
|
|
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 |
28 |
27 |
23 |
19 |
19 |
21 |
30 |
26 |
20 |
29 |
24 |
| Penetrated Low |
22 |
24 |
15 |
15 |
16 |
18 |
23 |
17 |
17 |
21 |
17 |
| Scenario Percentage |
79% |
89% |
65% |
79% |
84% |
86% |
77% |
65% |
85% |
72% |
71% |
| Avg Max Decline |
9.19% |
8.42% |
8.28% |
7.16% |
8.75% |
8.35% |
7.45% |
8.22% |
10.35% |
8.81% |
17.30% |
| 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 |
18 |
19 |
15 |
17 |
19 |
20 |
16 |
18 |
15 |
14 |
12 |
| Avg Max Increase |
-1.80% |
-2.29% |
-2.12% |
-2.05% |
-4.60% |
-2.35% |
-2.92% |
-3.32% |
-3.37% |
-2.01% |
-2.37% |
| Max Increase |
-5.65% |
-13.99% |
-7.06% |
-7.87% |
-14.30% |
-9.27% |
-14.18% |
-11.63% |
-15.13% |
-9.21% |
-9.52% |
| Avg Days to Max Increase |
8 |
8 |
8 |
11 |
15 |
12 |
7 |
13 |
10 |
7 |
6 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
|
|
| Action |
No |
|
|
Yes |
No |
|
No |
|
|
|
|
| High |
2056 |
2034 |
2110 |
2169 |
1987 |
1992 |
2000 |
1999 |
2146 |
2330 |
2800 |
| Low |
1861 |
1911 |
1900 |
1990 |
1775 |
1794 |
1810 |
1898 |
1973 |
2028 |
2301 |
| Close/Last |
1876 |
1953 |
2110 |
2002 |
1844 |
1985 |
1958 |
1983 |
2035 |
2326 |
2754 |
|
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