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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Coffee "C"(ICE) as of Jan 01, 2013
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   37 38 38 38 38 39 39 39 39 39 39
Closed Higher   17 17 9 14 23 14 20 21 22 18 20
Exceeded High   13 10 6 12 17 12 16 17 18 12 13
Scenario Percentage   76% 59% 67% 86% 74% 86% 80% 81% 82% 67% 65%
Avg Max Increase   17.29% 19.93% 13.84% 9.57% 10.91% 15.36% 18.55% 16.55% 17.29% 18.73% 8.18%
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   19 10 15 15 15 19 19 12 17 11 9
Avg Max Decline   -2.45% -1.25% -7.55% -4.12% -2.33% -2.40% -2.20% -1.41% -3.03% -0.63% -1.19%
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   4 5 15 10 10 8 7 3 10 2 3
2012 Contract Condition   Yes       Yes     Yes      
Action   Yes       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   37 38 38 38 38 39 39 39 39 39 39
Closed Lower   20 21 29 24 15 25 19 18 16 21 19
Penetrated Low   16 17 25 16 12 19 16 13 14 18 12
Scenario Percentage   80% 81% 86% 67% 80% 76% 84% 72% 88% 86% 63%
Avg Max Decline   12.71% 15.68% 11.66% 10.50% 10.73% 10.50% 9.63% 10.06% 9.72% 7.73% 4.83%
Max Decline   34.94% 35.94% 26.33% 24.16% 21.71% 26.39% 24.88% 20.29% 22.16% 18.86% 12.03%
Avg Days To Max Decline   24 20 15 20 17 14 16 15 16 12 7
Avg Max Increase   -3.73% -2.33% -3.64% -5.19% -4.56% -2.13% -3.42% -3.45% -3.73% -3.12% -1.30%
Max Increase   -18.45% -5.76% -33.47% -18.81% -13.72% -10.48% -14.35% -11.69% -15.45% -9.70% -5.10%
Avg Days to Max Increase   14 8 8 13 9 6 10 9 9 10 2
2012 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes Yes
Action     Yes Yes Yes   Yes Yes   Yes Yes Yes
High 295.00 307.90 313.15 283.50 276.75 290.85 293.10 255.00 243.30 238.95 238.50 222.45
Low 262.70 263.30 267.30 249.65 245.00 238.15 231.80 223.15 224.00 212.35 213.10 195.90
Close/Last 272.60 304.55 274.20 271.60 246.70 290.60 232.05 230.40 236.90 226.85 215.05 203.15

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