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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Orange Juice(ICE) 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   37 43 43 43 43 43 43 43 43 43 43
Closed Higher   20 24 23 25 16 17 18 24 18 27 18
Exceeded High   17 19 19 17 11 7 16 18 13 16 11
Scenario Percentage   85% 79% 83% 68% 69% 41% 89% 75% 72% 59% 61%
Avg Max Increase   11.52% 14.87% 11.95% 16.37% 14.51% 13.28% 9.70% 12.02% 12.75% 6.99% 4.97%
Max Increase   41.65% 43.02% 44.17% 62.51% 28.36% 18.19% 31.32% 30.56% 34.97% 15.09% 9.31%
Avg Days To Max Increase   19 16 17 15 11 21 15 18 19 12 8
Avg Max Decline   -3.31% -0.89% -1.29% -1.92% -2.70% -2.47% -1.56% -3.16% -2.00% -3.42% -0.71%
Max Decline   -17.24% -8.20% -6.67% -10.84% -11.07% -8.26% -9.63% -12.66% -11.46% -9.76% -1.69%
Avg Days to Max Decline   13 4 11 11 5 6 9 12 7 10 2
2010 Contract Condition       Yes Yes Yes Yes Yes     Yes Yes
Action       Yes Yes Yes No 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   37 43 43 43 43 43 43 43 43 43 43
Closed Lower   17 18 20 18 27 26 25 19 25 16 25
Penetrated Low   14 12 16 14 25 17 19 16 18 11 10
Scenario Percentage   82% 67% 80% 78% 93% 65% 76% 84% 72% 69% 40%
Avg Max Decline   7.93% 7.98% 8.89% 12.33% 10.26% 9.62% 8.26% 9.14% 8.82% 10.40% 4.24%
Max Decline   23.73% 18.33% 19.61% 21.05% 24.38% 23.13% 17.45% 21.93% 25.18% 21.50% 7.62%
Avg Days To Max Decline   15 16 25 19 20 14 19 18 19 14 7
Avg Max Increase   -1.82% -0.75% -4.03% -2.69% -3.27% -1.94% -3.60% -2.50% -4.48% -1.94% -2.33%
Max Increase   -7.36% -3.70% -17.43% -14.46% -12.91% -4.36% -10.86% -11.56% -14.22% -7.73% -10.59%
Avg Days to Max Increase   10 4 21 10 11 4 9 12 12 4 3
2010 Contract Condition   Yes Yes           Yes Yes    
Action   Yes No           Yes No    
High 118.80 123.80 116.60 130.25 130.60 147.00 157.45 149.00 155.50 139.35 147.40 148.50
Low 94.75 105.45 102.40 105.85 121.00 130.00 136.55 140.00 136.90 128.40 135.00 133.50
Close/Last 106.75 105.80 105.05 125.25 129.20 135.75 142.45 146.20 137.95 137.75 142.90 148.25

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