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MRCI's ScenarioSM Study
ScenarioSM Study for May Coffee "C"(NYBOT) as of May 16, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 27 28 28 29 29 29 29 29 29 29 29
Closed Higher 5 9 17 10 15 17 17 11 15 18 16
Exceeded High 3 7 13 7 12 12 14 10 11 12 12
Scenario Percentage 60% 78% 76% 70% 80% 71% 82% 91% 73% 67% 75%
Avg Max Increase 20.62% 8.50% 8.21% 12.38% 17.13% 19.48% 13.98% 15.58% 16.54% 17.69% 9.40%
Max Increase 52.27% 18.80% 19.93% 25.72% 49.58% 59.01% 54.25% 55.24% 38.73% 56.93% 44.70%
Avg Days To Max Increase 20 12 14 19 21 15 14 16 17 13 13
Avg Max Decline -10.80% -4.92% -2.21% -1.21% -1.55% -1.20% -1.70% -1.04% -1.78% -3.23% -1.45%
Max Decline -19.24% -11.02% -6.57% -4.86% -8.71% -4.56% -10.28% -5.39% -10.29% -10.02% -4.67%
Avg Days to Max Decline 12 7 9 5 8 4 9 6 6 7 3
2003 Contract Condition     Yes Yes Yes Yes   Yes     Yes
Action     Yes Yes No Yes   No     Yes
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 27 28 28 29 29 29 29 29 29 29 29
Closed Lower 22 19 11 19 13 12 12 18 14 11 13
Penetrated Low 19 11 9 15 9 10 12 17 11 9 11
Scenario Percentage 86% 58% 82% 79% 69% 83% 100% 94% 79% 82% 85%
Avg Max Decline 11.34% 11.35% 11.27% 9.00% 11.93% 9.59% 8.66% 8.04% 9.32% 8.98% 19.22%
Max Decline 25.57% 24.09% 21.08% 22.57% 22.97% 19.21% 23.36% 21.33% 18.44% 18.02% 81.92%
Avg Days To Max Decline 15 19 16 12 19 12 14 15 15 11 13
Avg Max Increase -3.35% -4.67% -3.75% -1.65% -1.73% -2.55% -2.87% -2.98% -3.84% -2.38% -3.41%
Max Increase -29.07% -10.82% -12.89% -9.18% -4.59% -9.74% -11.11% -9.96% -10.16% -7.01% -12.68%
Avg Days to Max Increase 10 14 11 5 9 6 8 8 11 7 5
2003 Contract Condition Yes Yes         Yes   Yes Yes  
Action Yes No         Yes   Yes Not Yet  
High 60.75 61.50 57.80 68.50 77.50 75.00 75.55 72.00 70.25 62.10 68.25
Low 56.00 54.60 54.60 56.60 59.30 67.70 61.50 62.80 59.00 57.00 57.00
Close/Last 56.40 54.85 57.50 59.10 70.60 72.85 62.60 68.00 59.15 58.65 68.25