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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Coffee "C"(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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   35 36 36 37 37 37 37 37 37 37 37
Closed Higher   7 12 21 14 19 22 22 17 17 21 19
Exceeded High   4 10 15 11 15 17 18 12 13 14 13
Scenario Percentage   57% 83% 71% 79% 79% 77% 82% 71% 76% 67% 68%
Avg Max Increase   16.82% 8.99% 10.60% 14.15% 15.99% 15.67% 15.24% 17.11% 15.19% 16.20% 8.87%
Max Increase   52.27% 18.80% 34.78% 31.13% 49.58% 59.01% 54.25% 55.24% 38.73% 56.93% 44.70%
Avg Days To Max Increase   16 13 16 20 20 14 16 15 16 13 12
Avg Max Decline   -9.02% -3.98% -2.17% -1.91% -1.57% -1.34% -2.14% -1.07% -1.77% -3.07% -1.58%
Max Decline   -19.24% -11.02% -6.57% -11.68% -8.71% -4.56% -10.28% -5.39% -10.29% -10.02% -4.67%
Avg Days to Max Decline   15 9 9 5 7 4 9 5 6 7 4
2010 Contract Condition     Yes   Yes Yes Yes       Yes  
Action     Yes   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   35 36 36 37 37 37 37 37 37 37 37
Closed Lower   28 24 15 23 17 15 15 20 20 16 18
Penetrated Low   25 14 12 17 12 12 14 19 16 12 12
Scenario Percentage   89% 58% 80% 74% 71% 80% 93% 95% 80% 75% 67%
Avg Max Decline   10.26% 11.00% 10.20% 9.44% 10.45% 9.23% 8.32% 7.95% 9.27% 8.79% 6.06%
Max Decline   25.57% 24.09% 21.08% 22.57% 22.97% 19.21% 23.36% 21.33% 18.44% 16.20% 13.47%
Avg Days To Max Decline   15 20 16 14 16 12 16 17 16 11 10
Avg Max Increase   -3.04% -4.67% -4.14% -1.83% -2.17% -2.46% -4.11% -2.90% -3.31% -2.78% -1.69%
Max Increase   -29.07% -10.82% -13.33% -9.18% -4.59% -9.74% -15.02% -9.96% -10.16% -7.01% -5.25%
Avg Days to Max Increase   8 15 9 5 8 6 9 8 11 8 2
2010 Contract Condition   Yes   Yes       Yes Yes Yes   Yes
Action   Yes   Yes       Yes Yes No   Not Yet
High 146.35 150.00 135.80 145.90 142.90 149.50 148.50 151.00 148.70 137.85 139.05 139.85
Low 126.50 126.00 121.35 125.35 124.75 131.40 135.00 137.55 133.50 128.25 128.70 128.60
Close/Last 145.05 127.45 135.80 127.10 132.60 140.45 143.70 137.60 133.60 131.20 136.15 135.20

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