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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 15 22 25 14 19 19 17 18 22 24 26
Exceeded High 14 17 18 12 14 15 12 16 18 19 16
Scenario Percentage 93% 77% 72% 86% 74% 79% 71% 89% 82% 79% 62%
Avg Max Increase 8.81% 11.58% 12.33% 9.59% 16.44% 14.56% 16.07% 13.87% 12.30% 10.67% 7.54%
Max Increase 19.24% 45.79% 52.55% 23.81% 58.68% 46.19% 47.16% 58.40% 32.22% 23.07% 24.39%
Avg Days To Max Increase 15 15 14 13 20 17 18 16 18 11 9
Avg Max Decline -1.63% -2.10% -1.89% -1.51% -2.68% -3.65% -3.34% -4.59% -3.82% -4.56% -0.79%
Max Decline -6.65% -8.84% -8.99% -4.86% -10.54% -7.25% -13.32% -11.82% -13.99% -15.06% -3.08%
Avg Days to Max Decline 7 7 7 6 8 7 8 12 8 8 2
2007 Contract Condition Yes Yes Yes   Yes Yes   Yes Yes    
Action Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 30 23 20 29 26 24 27 26 23 20 19
Penetrated Low 24 18 16 23 22 20 22 22 15 15 12
Scenario Percentage 80% 78% 80% 79% 85% 83% 81% 85% 65% 75% 63%
Avg Max Decline 6.66% 6.53% 8.70% 9.54% 10.47% 12.79% 10.66% 9.25% 9.30% 7.32% 20.75%
Max Decline 13.02% 19.52% 23.79% 29.18% 25.83% 28.30% 29.04% 27.52% 22.78% 20.98% 75.95%
Avg Days To Max Decline 16 18 16 19 21 19 18 17 15 13 12
Avg Max Increase -1.96% -2.01% -2.66% -1.60% -3.58% -2.75% -2.39% -2.91% -3.46% -2.85% -2.00%
Max Increase -11.80% -8.02% -10.62% -8.98% -23.33% -10.67% -8.82% -15.48% -13.43% -8.46% -8.38%
Avg Days to Max Increase 8 10 11 9 9 8 9 9 6 7 5
2007 Contract Condition             Yes     Yes Yes
Action             Yes     Yes Yes
High 1593 1632 1750 1746 1832 2014 2035 2004 2069 2141 1945
Low 1505 1546 1617 1645 1688 1752 1807 1786 1842 1900 1763
Close/Last 1586 1622 1696 1696 1783 2006 1825 1909 2062 1942 1868

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