|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Cocoa(ICE) as of Jan 07, 2009 |
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 |
26 |
14 |
20 |
19 |
17 |
18 |
23 |
24 |
26 |
| Exceeded High |
14 |
17 |
19 |
13 |
15 |
15 |
12 |
16 |
19 |
19 |
15 |
| Scenario Percentage |
93% |
77% |
73% |
93% |
75% |
79% |
71% |
89% |
83% |
79% |
58% |
| Avg Max Increase |
8.81% |
11.73% |
13.69% |
10.83% |
15.65% |
14.49% |
17.21% |
13.85% |
11.81% |
10.73% |
7.83% |
| Max Increase |
19.24% |
45.79% |
52.55% |
25.76% |
58.68% |
46.19% |
47.16% |
58.40% |
32.22% |
23.07% |
25.09% |
| Avg Days To Max Increase |
15 |
15 |
14 |
13 |
20 |
17 |
20 |
16 |
17 |
11 |
10 |
| Avg Max Decline |
-1.63% |
-1.71% |
-1.74% |
-1.45% |
-2.77% |
-3.62% |
-3.88% |
-4.57% |
-3.65% |
-4.56% |
-0.84% |
| Max Decline |
-6.65% |
-8.84% |
-8.99% |
-4.86% |
-10.54% |
-7.25% |
-13.32% |
-11.82% |
-13.99% |
-15.06% |
-4.36% |
| Avg Days to Max Decline |
7 |
5 |
6 |
6 |
8 |
7 |
8 |
12 |
8 |
8 |
3 |
| 2008 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 |
19 |
29 |
25 |
24 |
27 |
26 |
22 |
20 |
19 |
| Penetrated Low |
24 |
18 |
15 |
23 |
21 |
20 |
22 |
21 |
14 |
16 |
12 |
| Scenario Percentage |
80% |
78% |
79% |
79% |
84% |
83% |
81% |
81% |
64% |
80% |
63% |
| Avg Max Decline |
6.66% |
6.53% |
9.08% |
9.54% |
10.72% |
12.79% |
10.66% |
8.75% |
9.42% |
7.62% |
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 |
17 |
19 |
22 |
19 |
18 |
17 |
15 |
13 |
12 |
| Avg Max Increase |
-1.96% |
-2.01% |
-2.83% |
-1.60% |
-3.78% |
-2.75% |
-2.39% |
-3.07% |
-3.61% |
-3.00% |
-2.65% |
| Max Increase |
-11.80% |
-8.02% |
-10.62% |
-8.98% |
-23.33% |
-10.67% |
-8.82% |
-15.48% |
-13.43% |
-8.46% |
-11.75% |
| Avg Days to Max Increase |
8 |
10 |
12 |
9 |
9 |
8 |
9 |
9 |
6 |
6 |
5 |
| 2008 Contract Condition |
Yes |
|
|
|
|
Yes |
|
Yes |
|
Yes |
|
| Action |
No |
|
|
|
|
No |
|
No |
|
Yes |
|
| High |
1997 |
2005 |
2141 |
2371 |
2825 |
2978 |
2785 |
2775 |
3207 |
3290 |
3013 |
| Low |
1859 |
1946 |
2035 |
2069 |
2339 |
2263 |
2274 |
2530 |
2737 |
2734 |
2540 |
| Close/Last |
1981 |
2003 |
2046 |
2368 |
2791 |
2354 |
2739 |
2737 |
3181 |
2858 |
2864 |
|
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