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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   33 40 40 40 40 41 41 41 41 41 41
Closed Higher   14 25 13 23 22 24 21 24 13 18 18
Exceeded High   11 16 12 16 17 18 17 17 8 8 11
Scenario Percentage   79% 64% 92% 70% 77% 75% 81% 71% 62% 44% 61%
Avg Max Increase   12.98% 7.30% 8.16% 7.40% 13.01% 16.67% 12.43% 15.52% 15.35% 10.41% 6.76%
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 7
Avg Max Decline   -0.23% -2.32% -1.96% -1.63% -3.36% -1.47% -2.01% -2.87% -1.82% -2.85% -0.63%
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 5 2
2008 Contract Condition         Yes   Yes Yes   Yes    
Action         No   Yes No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   33 40 40 40 40 41 41 41 41 41 41
Closed Lower   19 15 27 17 18 17 20 17 28 23 23
Penetrated Low   13 11 19 10 13 13 16 13 26 15 9
Scenario Percentage   68% 73% 70% 59% 72% 76% 80% 76% 93% 65% 39%
Avg Max Decline   7.63% 9.79% 7.51% 7.87% 9.57% 8.39% 9.89% 14.85% 10.71% 8.07% 1.54%
Max Decline   20.54% 19.44% 13.02% 18.14% 24.51% 18.68% 22.68% 23.98% 28.00% 20.58% 2.89%
Avg Days To Max Decline   21 19 15 12 17 17 25 18 18 8 5
Avg Max Increase   -3.63% -0.87% -2.38% -2.10% -2.89% -1.45% -4.13% -3.86% -3.57% -2.48% -1.82%
Max Increase   -9.11% -2.79% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -5.74% -3.42%
Avg Days to Max Increase   15 6 12 9 13 4 21 9 11 4 3
2008 Contract Condition   Yes Yes Yes   Yes     Yes   Yes Yes
Action   Yes Yes Yes   Yes     No   Yes Not Yet
High 187.50 183.00 167.00 156.65 143.75 143.10 132.00 157.25 143.50 153.25 152.00 138.10
Low 177.55 146.00 152.50 122.85 127.60 119.90 113.55 128.00 130.50 136.25 131.20 119.00
Close/Last 180.00 154.60 152.50 137.85 141.80 120.25 129.90 140.00 137.30 144.80 137.70 126.85

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