MRCI Online
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| ScenarioSM Study for July Cocoa(ICE) as of Dec 31, 2010 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jul | 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 | 21 | 23 | 15 | 21 | 26 | 15 | 20 | 22 | 18 | 19 | 22 | |
| Exceeded High | 15 | 17 | 14 | 15 | 22 | 14 | 15 | 17 | 13 | 16 | 18 | |
| Scenario Percentage | 71% | 74% | 93% | 71% | 85% | 93% | 75% | 77% | 72% | 84% | 82% | |
| Avg Max Increase | 11.15% | 10.50% | 9.44% | 11.65% | 12.90% | 10.52% | 16.89% | 14.05% | 16.04% | 12.38% | 7.71% | |
| Max Increase | 34.26% | 26.44% | 20.03% | 24.17% | 54.06% | 25.92% | 67.00% | 45.98% | 47.32% | 40.57% | 23.61% | |
| Avg Days To Max Increase | 15 | 16 | 15 | 13 | 14 | 16 | 21 | 16 | 20 | 11 | 8 | |
| Avg Max Decline | -2.01% | -3.47% | -1.78% | -2.82% | -2.44% | -2.35% | -3.24% | -3.76% | -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 | 8 | 5 | 7 | 7 | 12 | 7 | 14 | 9 | 2 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
| Action | Yes | Yes | Yes | Yes | No | |||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
