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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Coffee "C"(ICE) as of Sep 10, 2010 |
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 |
35 |
36 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
16 |
17 |
8 |
13 |
21 |
13 |
19 |
20 |
21 |
17 |
19 |
| Exceeded High |
12 |
10 |
5 |
11 |
15 |
11 |
15 |
17 |
17 |
11 |
12 |
| Scenario Percentage |
75% |
59% |
63% |
85% |
71% |
85% |
79% |
85% |
81% |
65% |
63% |
| Avg Max Increase |
18.50% |
19.93% |
13.89% |
9.27% |
11.28% |
14.94% |
18.59% |
16.55% |
17.41% |
18.62% |
8.36% |
| Max Increase |
74.84% |
103.42% |
53.36% |
18.58% |
35.59% |
32.17% |
54.63% |
63.74% |
64.24% |
63.20% |
19.49% |
| Avg Days To Max Increase |
21 |
10 |
14 |
16 |
15 |
20 |
19 |
12 |
17 |
11 |
10 |
| Avg Max Decline |
-2.64% |
-1.25% |
-8.03% |
-3.93% |
-2.34% |
-2.07% |
-2.02% |
-1.41% |
-2.86% |
-0.70% |
-1.10% |
| Max Decline |
-10.69% |
-5.79% |
-19.74% |
-11.71% |
-5.64% |
-12.01% |
-8.79% |
-5.10% |
-15.35% |
-3.33% |
-3.67% |
| Avg Days to Max Decline |
5 |
5 |
14 |
8 |
9 |
8 |
7 |
3 |
9 |
2 |
3 |
| 2010 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
| Action |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
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 |
35 |
36 |
36 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
19 |
19 |
28 |
23 |
15 |
24 |
18 |
17 |
15 |
20 |
18 |
| Penetrated Low |
15 |
16 |
24 |
15 |
12 |
18 |
15 |
13 |
13 |
17 |
13 |
| Scenario Percentage |
79% |
84% |
86% |
65% |
80% |
75% |
83% |
76% |
87% |
85% |
72% |
| Avg Max Decline |
13.31% |
15.99% |
11.64% |
10.79% |
10.73% |
10.87% |
9.75% |
10.06% |
9.42% |
7.26% |
16.81% |
| Max Decline |
34.94% |
35.94% |
26.33% |
24.16% |
21.71% |
26.39% |
24.88% |
20.29% |
22.16% |
18.86% |
44.99% |
| Avg Days To Max Decline |
25 |
20 |
16 |
19 |
17 |
14 |
16 |
15 |
16 |
12 |
9 |
| Avg Max Increase |
-3.82% |
-2.26% |
-3.71% |
-4.28% |
-4.56% |
-2.24% |
-3.27% |
-3.45% |
-3.62% |
-3.10% |
-3.15% |
| Max Increase |
-18.45% |
-5.76% |
-33.47% |
-9.90% |
-13.72% |
-10.48% |
-14.35% |
-11.69% |
-15.45% |
-9.70% |
-11.26% |
| Avg Days to Max Increase |
15 |
9 |
8 |
11 |
9 |
7 |
10 |
9 |
8 |
10 |
7 |
| 2010 Contract Condition |
Yes |
|
Yes |
|
Yes |
|
|
|
Yes |
Yes |
Yes |
| Action |
No |
|
Yes |
|
Yes |
|
|
|
Yes |
Yes |
Yes |
| High |
130.00 |
144.75 |
148.45 |
133.85 |
144.25 |
141.10 |
147.95 |
146.85 |
149.50 |
146.95 |
135.95 |
| Low |
120.95 |
125.70 |
123.50 |
119.30 |
123.25 |
122.80 |
128.90 |
133.05 |
135.80 |
131.60 |
126.60 |
| Close/Last |
123.70 |
143.45 |
125.60 |
133.85 |
125.20 |
130.70 |
138.55 |
142.00 |
135.95 |
131.70 |
129.05 |
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