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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, 2010
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 14 23 26 15 20 20 17 18 22 25 25
Exceeded High 14 18 20 14 15 16 12 16 18 20 15
Scenario Percentage 100% 78% 77% 93% 75% 80% 71% 89% 82% 80% 60%
Avg Max Increase 8.81% 12.46% 13.53% 10.46% 15.72% 14.06% 17.21% 14.36% 12.34% 10.51% 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 16 14 13 20 16 20 18 17 11 10
Avg Max Decline -1.63% -2.14% -2.21% -1.56% -2.82% -3.47% -3.88% -4.86% -3.87% -4.67% -0.84%
Max Decline -6.65% -8.84% -11.17% -4.86% -10.54% -7.25% -13.32% -11.82% -13.99% -15.06% -4.36%
Avg Days to Max Decline 7 5 7 5 8 7 8 13 8 9 3
2009 Contract Condition   Yes Yes Yes   Yes   Yes   Yes  
Action   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 31 22 19 28 25 23 27 26 23 19 20
Penetrated Low 24 17 15 22 21 19 22 21 14 15 13
Scenario Percentage 77% 77% 79% 79% 84% 83% 81% 81% 61% 79% 65%
Avg Max Decline 6.66% 6.30% 9.08% 9.67% 10.64% 12.92% 10.70% 8.75% 9.42% 7.99% 21.74%
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 20 21 19 18 17 15 13 12
Avg Max Increase -1.96% -2.01% -2.83% -1.65% -3.56% -2.83% -2.62% -3.07% -3.61% -3.12% -3.29%
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 9 12 9 9 9 9 9 6 6 6
2009 Contract Condition Yes       Yes   Yes   Yes   Yes
Action No       Yes   Yes   No   Yes
High 2575 2267 2640 2800 2899 2625 2775 2667 2858 2935 3001
Low 1950 1950 2082 2330 2310 2173 2355 2289 2426 2444 2695
Close/Last 2124 2243 2623 2745 2392 2604 2390 2612 2510 2892 2772

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