|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Cocoa(ICE) as of Apr 04, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
14 |
20 |
19 |
18 |
18 |
22 |
26 |
25 |
26 |
16 |
20 |
| Exceeded High |
12 |
14 |
15 |
13 |
16 |
19 |
19 |
18 |
17 |
12 |
11 |
| Scenario Percentage |
86% |
70% |
79% |
72% |
89% |
86% |
73% |
72% |
65% |
75% |
55% |
| Avg Max Increase |
9.68% |
14.84% |
15.25% |
14.23% |
13.93% |
12.32% |
14.21% |
12.16% |
12.93% |
9.99% |
8.60% |
| Max Increase |
23.84% |
49.61% |
45.37% |
39.09% |
50.35% |
27.94% |
39.24% |
33.03% |
28.13% |
24.57% |
24.48% |
| Avg Days To Max Increase |
16 |
21 |
20 |
19 |
15 |
17 |
16 |
17 |
14 |
13 |
9 |
| Avg Max Decline |
-2.07% |
-2.64% |
-4.01% |
-3.20% |
-4.31% |
-3.08% |
-4.17% |
-2.68% |
-3.41% |
-2.04% |
-0.69% |
| Max Decline |
-9.11% |
-9.94% |
-9.97% |
-13.61% |
-11.33% |
-13.39% |
-13.88% |
-7.99% |
-9.29% |
-10.27% |
-7.88% |
| Avg Days to Max Decline |
8 |
9 |
10 |
9 |
12 |
8 |
9 |
7 |
8 |
5 |
3 |
| 2006 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
|
| Action |
|
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
30 |
25 |
26 |
27 |
27 |
23 |
19 |
18 |
19 |
29 |
25 |
| Penetrated Low |
25 |
22 |
22 |
22 |
23 |
15 |
14 |
14 |
18 |
21 |
20 |
| Scenario Percentage |
83% |
88% |
85% |
81% |
85% |
65% |
74% |
78% |
95% |
72% |
80% |
| Avg Max Decline |
8.58% |
9.36% |
11.85% |
9.93% |
8.71% |
8.47% |
7.80% |
8.99% |
7.70% |
6.64% |
24.54% |
| Max Decline |
27.85% |
24.40% |
27.24% |
25.77% |
27.24% |
20.77% |
25.69% |
16.80% |
16.36% |
11.52% |
70.80% |
| Avg Days To Max Decline |
20 |
21 |
20 |
17 |
18 |
16 |
17 |
19 |
18 |
13 |
12 |
| Avg Max Increase |
-1.78% |
-3.30% |
-2.70% |
-1.92% |
-2.62% |
-2.69% |
-2.47% |
-5.54% |
-2.66% |
-2.79% |
-6.65% |
| Max Increase |
-8.89% |
-22.72% |
-11.90% |
-6.72% |
-14.59% |
-8.79% |
-9.04% |
-14.93% |
-12.90% |
-9.98% |
-23.71% |
| Avg Days to Max Increase |
8 |
9 |
8 |
9 |
8 |
6 |
11 |
17 |
11 |
6 |
-29 |
| 2006 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
Not Yet |
| High |
1690 |
1625 |
1589 |
1598 |
1628 |
1680 |
1767 |
1615 |
1535 |
1498 |
1540 |
| Low |
1545 |
1500 |
1509 |
1493 |
1521 |
1523 |
1513 |
1458 |
1415 |
1396 |
1400 |
| Close/Last |
1581 |
1532 |
1570 |
1573 |
1542 |
1672 |
1528 |
1485 |
1472 |
1484 |
1483 |
|
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