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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Copper(CMX) as of Dec 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 43 44 45 45 45 45 45 45 45 45
Closed Higher   19 32 22 23 19 22 25 26 25 32 19
Exceeded High   18 22 18 16 16 20 24 24 22 23 11
Scenario Percentage   95% 69% 82% 70% 84% 91% 96% 92% 88% 72% 58%
Avg Max Increase   9.03% 8.85% 9.37% 12.74% 9.65% 10.72% 11.50% 14.60% 13.07% 11.55% 8.02%
Max Increase   29.45% 35.14% 25.32% 34.02% 18.99% 37.37% 41.67% 42.84% 45.27% 68.90% 24.72%
Avg Days To Max Increase   19 19 16 20 19 18 18 19 13 13 11
Avg Max Decline   -0.95% -2.23% -2.37% -2.62% -2.43% -3.60% -2.10% -3.42% -2.34% -2.86% -1.46%
Max Decline   -4.42% -14.38% -10.07% -8.34% -14.19% -9.98% -8.55% -11.06% -10.75% -8.66% -5.67%
Avg Days to Max Decline   5 11 12 9 9 9 8 9 6 7 3
2010 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes  
Action   Yes Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   43 43 44 45 45 45 45 45 45 45 45
Closed Lower   24 11 21 22 25 23 20 19 20 13 26
Penetrated Low   15 9 14 19 18 17 13 10 13 10 16
Scenario Percentage   63% 82% 67% 86% 72% 74% 65% 53% 65% 77% 62%
Avg Max Decline   5.70% 10.59% 13.31% 9.36% 9.19% 9.94% 7.42% 8.03% 8.81% 7.72% 5.49%
Max Decline   16.44% 25.66% 50.39% 46.68% 31.11% 23.48% 16.91% 12.64% 32.96% 29.02% 13.11%
Avg Days To Max Decline   17 25 22 18 14 16 19 10 16 19 13
Avg Max Increase   -1.55% -0.87% -1.56% -1.79% -1.79% -1.92% -1.45% -1.52% -2.68% -3.96% -1.35%
Max Increase   -7.97% -7.59% -8.76% -4.73% -8.81% -9.98% -5.61% -6.04% -8.44% -8.96% -5.53%
Avg Days to Max Increase   12 13 8 7 3 9 10 7 9 16 4
2010 Contract Condition                 Yes     Yes
Action                 Yes     Yes
High 220.15 246.00 262.95 295.80 297.05 308.70 322.00 339.35 355.00 338.80 357.75 368.00
Low 203.05 216.00 218.40 268.25 270.00 267.60 293.35 309.95 305.00 282.90 329.00 331.60
Close/Last 220.15 228.50 262.95 282.70 283.45 298.15 318.85 336.05 306.70 328.40 355.35 333.75

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