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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Orange Juice(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 32 39 39 39 39 40 40 40 40 40 40
Closed Higher 14 25 13 22 22 23 20 24 12 18 18
Exceeded High 11 16 12 16 17 17 17 17 8 8 12
Scenario Percentage 79% 64% 92% 73% 77% 74% 85% 71% 67% 44% 67%
Avg Max Increase 12.98% 7.30% 8.16% 7.40% 13.01% 16.41% 12.43% 15.52% 15.35% 10.55% 7.12%
Max Increase 30.21% 18.72% 20.22% 19.13% 43.56% 45.04% 44.58% 62.09% 29.02% 20.09% 20.40%
Avg Days To Max Increase 16 15 18 17 18 15 16 15 13 12 9
Avg Max Decline -0.23% -2.32% -1.96% -1.63% -3.36% -1.47% -2.01% -2.87% -1.82% -3.45% -0.64%
Max Decline -2.42% -8.55% -8.24% -7.72% -17.82% -7.14% -10.21% -11.88% -9.60% -9.84% -3.61%
Avg Days to Max Decline 5 8 9 10 17 3 11 15 3 6 3
2007 Contract Condition Yes Yes Yes Yes Yes   Yes Yes     Yes
Action 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 32 39 39 39 39 40 40 40 40 40 40
Closed Lower 18 14 26 17 17 17 20 16 28 22 22
Penetrated Low 12 10 18 10 12 13 16 13 26 14 14
Scenario Percentage 67% 71% 69% 59% 71% 76% 80% 81% 93% 64% 64%
Avg Max Decline 6.55% 8.82% 7.20% 7.87% 9.90% 8.39% 9.89% 14.85% 10.71% 7.91% 12.16%
Max Decline 13.78% 18.54% 12.25% 18.14% 24.51% 18.68% 22.68% 23.98% 28.00% 20.58% 37.15%
Avg Days To Max Decline 20 19 14 12 18 17 25 18 18 8 12
Avg Max Increase -3.27% -0.68% -2.27% -2.10% -3.12% -1.45% -4.13% -3.86% -3.57% -2.64% -1.84%
Max Increase -9.11% -2.79% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -5.74% -3.39%
Avg Days to Max Increase 15 6 11 9 14 4 21 9 11 4 3
2007 Contract Condition           Yes     Yes Yes  
Action           Yes     Yes Not Yet  
High 139.90 159.00 167.00 170.00 186.00 181.00 199.30 205.50 206.75 208.80 209.40
Low 132.50 138.65 148.95 152.65 167.50 169.75 163.50 193.50 194.40 184.20 186.00
Close/Last 137.50 150.55 165.00 169.15 180.80 172.45 198.00 203.20 197.15 186.00 205.00

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