|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Cocoa(NYBOT) as of Jun 30, 2007 |
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 |
24 |
14 |
18 |
19 |
17 |
17 |
22 |
24 |
26 |
| Exceeded High |
14 |
17 |
17 |
12 |
13 |
14 |
12 |
15 |
17 |
19 |
16 |
| Scenario Percentage |
93% |
77% |
71% |
86% |
72% |
74% |
71% |
88% |
77% |
79% |
62% |
| Avg Max Increase |
9.33% |
11.18% |
12.59% |
9.59% |
16.61% |
15.49% |
16.07% |
13.98% |
12.79% |
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 |
13 |
14 |
14 |
13 |
21 |
17 |
18 |
17 |
18 |
11 |
9 |
| Avg Max Decline |
-1.52% |
-2.11% |
-1.83% |
-1.47% |
-2.70% |
-3.45% |
-3.34% |
-4.66% |
-3.97% |
-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 |
5 |
7 |
7 |
6 |
8 |
8 |
8 |
12 |
9 |
8 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Not Yet |
|
|
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 |
21 |
30 |
27 |
24 |
27 |
27 |
23 |
20 |
19 |
| Penetrated Low |
24 |
18 |
17 |
24 |
22 |
20 |
22 |
23 |
15 |
15 |
12 |
| Scenario Percentage |
80% |
78% |
81% |
80% |
81% |
83% |
81% |
85% |
65% |
75% |
63% |
| Avg Max Decline |
6.66% |
6.53% |
9.12% |
9.48% |
10.47% |
12.79% |
10.94% |
9.07% |
9.30% |
7.11% |
19.14% |
| 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 |
19 |
17 |
15 |
13 |
11 |
| Avg Max Increase |
-1.96% |
-2.01% |
-2.76% |
-1.53% |
-3.58% |
-2.75% |
-2.55% |
-2.90% |
-3.46% |
-2.89% |
-1.65% |
| 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 |
10 |
9 |
6 |
7 |
4 |
| 2007 Contract Condition |
|
|
|
|
|
|
Yes |
|
|
|
|
| Action |
|
|
|
|
|
|
Yes |
|
|
|
|
| High |
1593 |
1632 |
1750 |
1746 |
1832 |
2006 |
2015 |
2004 |
2069 |
|
|
| Low |
1505 |
1546 |
1617 |
1645 |
1688 |
1753 |
1808 |
1786 |
1848 |
|
|
| Close/Last |
1586 |
1622 |
1696 |
1696 |
1783 |
2006 |
1825 |
1909 |
2062 |
|
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