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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 22 23 14 21 25 15 20 21 18 19 22
Exceeded High 16 16 13 15 21 14 15 16 13 16 18
Scenario Percentage 73% 70% 93% 71% 84% 93% 75% 76% 72% 84% 82%
Avg Max Increase 10.53% 10.63% 9.77% 11.65% 13.22% 10.52% 16.89% 14.42% 16.04% 12.41% 7.83%
Max Increase 34.26% 26.44% 20.03% 24.17% 54.06% 25.92% 67.00% 45.98% 47.32% 40.90% 23.61%
Avg Days To Max Increase 15 15 15 13 14 16 21 17 20 12 9
Avg Max Decline -1.97% -3.35% -1.39% -2.82% -2.51% -2.35% -3.24% -3.65% -4.31% -4.40% -0.69%
Max Decline -6.42% -8.37% -7.34% -9.28% -11.07% -5.18% -10.57% -7.72% -12.50% -11.26% -4.84%
Avg Days to Max Decline 6 9 7 5 7 7 12 7 14 9 2
2009 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 22 22 31 23 20 30 25 24 27 26 23
Penetrated Low 18 19 24 17 16 22 21 21 22 21 12
Scenario Percentage 82% 86% 77% 74% 80% 73% 84% 88% 81% 81% 52%
Avg Max Decline 9.91% 8.94% 6.97% 6.53% 9.91% 10.47% 11.22% 13.25% 11.10% 8.83% 14.90%
Max Decline 32.59% 25.41% 13.39% 19.16% 24.80% 30.20% 26.80% 29.45% 31.58% 26.74% 51.31%
Avg Days To Max Decline 20 18 16 17 15 21 21 19 17 12 13
Avg Max Increase -3.73% -1.65% -2.17% -2.96% -2.87% -1.75% -3.94% -3.01% -2.96% -2.43% -2.90%
Max Increase -11.50% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -10.66% -12.36% -10.76% -11.66%
Avg Days to Max Increase 16 11 6 10 10 8 9 11 9 6 5
2009 Contract Condition Yes Yes Yes       Yes   Yes   Yes
Action Yes Yes No       Yes   Yes   Not Yet
High 3027 2777 2567 2274 2677 2810 2912 2629 2796 2646 2823
Low 2595 2519 1932 1932 2093 2353 2313 2175 2350 2262 2421
Close/Last 2866 2590 2109 2263 2646 2764 2403 2605 2375 2588 2487

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