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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec 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   15 21 20 18 19 22 27 24 25 16 21
Exceeded High   14 15 16 13 17 19 20 16 17 13 12
Scenario Percentage   93% 71% 80% 72% 89% 86% 74% 67% 68% 81% 57%
Avg Max Increase   10.44% 14.21% 14.49% 15.36% 14.86% 12.41% 14.00% 12.56% 12.63% 9.58% 9.10%
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   15 21 19 21 16 17 16 16 14 14 11
Avg Max Decline   -2.02% -2.86% -3.60% -3.62% -4.30% -3.23% -4.35% -2.86% -3.67% -2.48% -1.64%
Max Decline   -9.11% -9.94% -6.94% -13.61% -11.33% -13.39% -13.88% -7.99% -9.29% -10.27% -8.68%
Avg Days to Max Decline   7 9 7 9 12 8 9 7 9 5 4
2010 Contract Condition       Yes Yes   Yes          
Action       Yes Not Yet              
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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 Dec 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   29 24 25 27 26 23 18 19 20 29 24
Penetrated Low   24 21 21 22 22 14 14 14 19 20 13
Scenario Percentage   83% 88% 84% 81% 85% 61% 78% 74% 95% 69% 54%
Avg Max Decline   8.69% 9.49% 11.97% 9.97% 8.31% 8.56% 8.61% 8.99% 8.72% 6.59% 3.68%
Max Decline   27.85% 24.40% 27.24% 25.77% 27.24% 20.77% 25.69% 16.80% 27.01% 11.52% 8.19%
Avg Days To Max Decline   20 20 21 17 18 16 18 19 18 12 9
Avg Max Increase   -1.85% -3.27% -2.78% -2.14% -2.77% -2.79% -2.77% -5.54% -2.58% -2.95% -2.55%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.04% -14.93% -12.90% -9.98% -6.67%
Avg Days to Max Increase   8 9 9 9 9 6 11 17 10 6 4
2010 Contract Condition   Yes Yes     Yes            
Action   Yes Yes     Not Yet            
High 3497 3497 3272 3072 3280 3279 3050          
Low 3231 3246 2988 2830 2886 2830 2959          
Close/Last 3293 3272 3001 3053 3272 3017 3043          

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