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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Orange Juice(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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 35 40 41 41 41 41 41 42 42 42 42
Closed Higher 13 19 20 24 14 23 24 25 21 25 12
Exceeded High 9 13 18 14 12 16 17 20 16 16 6
Scenario Percentage 69% 68% 90% 58% 86% 70% 71% 80% 76% 64% 50%
Avg Max Increase 8.80% 11.05% 10.67% 8.32% 9.26% 7.66% 13.79% 16.32% 12.51% 11.67% 10.48%
Max Increase 22.08% 27.54% 31.86% 18.75% 20.31% 20.24% 45.52% 46.44% 38.48% 52.33% 18.62%
Avg Days To Max Increase 17 16 12 17 17 18 19 13 18 10 6
Avg Max Decline -0.89% -3.01% -0.43% -2.24% -1.78% -2.04% -3.34% -1.39% -2.70% -1.81% 0.36%
Max Decline -5.13% -10.21% -2.13% -8.41% -7.48% -9.37% -18.24% -7.87% -16.99% -6.31% -1.36%
Avg Days to Max Decline 6 12 4 7 7 10 15 3 11 10 2
2009 Contract Condition     Yes   Yes   Yes        
Action     No   Yes   No        
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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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 35 40 41 41 41 41 41 42 42 42 42
Closed Lower 22 21 21 16 27 18 17 17 21 17 30
Penetrated Low 18 14 15 12 20 11 12 14 16 13 26
Scenario Percentage 82% 67% 71% 75% 74% 61% 71% 82% 76% 76% 87%
Avg Max Decline 6.67% 7.52% 8.52% 9.84% 7.82% 9.66% 10.30% 10.03% 11.66% 10.92% 13.89%
Max Decline 14.37% 15.48% 21.38% 20.03% 14.05% 21.87% 25.31% 20.16% 24.35% 23.73% 58.21%
Avg Days To Max Decline 21 17 20 20 16 14 16 18 24 15 14
Avg Max Increase -2.18% -1.24% -3.15% -2.92% -2.70% -2.54% -3.13% -1.53% -4.18% -4.54% -3.14%
Max Increase -6.82% -9.06% -9.65% -19.76% -7.80% -6.81% -8.00% -4.84% -13.14% -18.24% -22.55%
Avg Days to Max Increase 7 9 13 9 11 11 12 4 17 7 -22
2009 Contract Condition Yes Yes   Yes   Yes   Yes Yes Yes Yes
Action Yes Yes   Yes   Yes   Yes Yes Yes Not Yet
High 145.50 142.50 133.65 132.75 130.45 142.10 122.00 118.60 93.10 87.25 80.00
Low 133.30 120.00 121.50 114.50 116.30 113.50 104.10 89.30 75.40 74.25 67.10
Close/Last 138.95 122.55 129.00 118.65 128.75 114.30 115.85 93.00 80.30 74.35 68.55

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