MRCI Online
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| ScenarioSM Study for May Cocoa(ICE) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
| Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
| Closed Higher | 24 | 26 | 25 | 22 | 13 | 20 | 25 | 15 | 20 | 21 | 20 |
| Exceeded High | 20 | 19 | 18 | 15 | 13 | 15 | 20 | 15 | 15 | 16 | 9 |
| Scenario Percentage | 83% | 73% | 72% | 68% | 100% | 75% | 80% | 100% | 75% | 76% | 45% |
| Avg Max Increase | 11.51% | 13.75% | 11.78% | 11.52% | 9.99% | 12.05% | 14.31% | 10.85% | 17.41% | 10.48% | 5.55% |
| Max Increase | 27.80% | 37.58% | 34.66% | 26.15% | 20.86% | 24.73% | 56.27% | 26.21% | 65.86% | 32.06% | 12.42% |
| Avg Days To Max Increase | 17 | 15 | 15 | 16 | 16 | 14 | 15 | 17 | 20 | 11 | 10 |
| Avg Max Decline | -2.12% | -3.43% | -2.19% | -3.77% | -1.56% | -3.16% | -3.40% | -3.26% | -3.20% | -3.60% | -1.37% |
| Max Decline | -13.94% | -12.03% | -9.43% | -8.69% | -8.39% | -9.06% | -13.44% | -13.28% | -10.58% | -7.85% | -4.93% |
| Avg Days to Max Decline | 9 | 7 | 7 | 10 | 7 | 8 | 9 | 9 | 12 | 5 | 2 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
