|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Coffee "C"(NYBOT) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
17 |
18 |
20 |
17 |
16 |
17 |
16 |
15 |
6 |
11 |
18 |
| Exceeded High |
13 |
16 |
17 |
14 |
11 |
13 |
13 |
6 |
5 |
9 |
13 |
| Scenario Percentage |
76% |
89% |
85% |
82% |
69% |
76% |
81% |
40% |
83% |
82% |
72% |
| Avg Max Increase |
16.39% |
15.21% |
13.31% |
13.19% |
15.18% |
20.01% |
23.92% |
34.31% |
15.51% |
10.22% |
7.32% |
| Max Increase |
54.56% |
58.99% |
42.09% |
38.59% |
32.10% |
72.37% |
122.35% |
121.24% |
43.01% |
23.92% |
21.36% |
| Avg Days To Max Increase |
22 |
15 |
15 |
16 |
19 |
19 |
19 |
17 |
18 |
15 |
12 |
| Avg Max Decline |
-1.78% |
-1.21% |
-1.62% |
-1.58% |
-1.48% |
-3.84% |
-2.96% |
-2.74% |
-11.15% |
-5.66% |
-1.33% |
| Max Decline |
-8.13% |
-6.04% |
-8.89% |
-4.17% |
-10.05% |
-11.70% |
-11.79% |
-5.93% |
-21.26% |
-13.46% |
-3.35% |
| Avg Days to Max Decline |
10 |
6 |
8 |
8 |
6 |
5 |
7 |
9 |
17 |
7 |
5 |
| 2005 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
|
| Action |
|
Yes |
Yes |
Yes |
Yes |
No |
|
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
15 |
14 |
12 |
15 |
16 |
15 |
16 |
17 |
26 |
21 |
14 |
| Penetrated Low |
10 |
12 |
11 |
13 |
13 |
12 |
14 |
15 |
23 |
12 |
11 |
| Scenario Percentage |
67% |
86% |
92% |
87% |
81% |
80% |
88% |
88% |
88% |
57% |
79% |
| Avg Max Decline |
10.39% |
8.51% |
7.99% |
8.49% |
8.84% |
8.40% |
14.92% |
15.68% |
13.63% |
12.14% |
17.24% |
| Max Decline |
22.31% |
17.16% |
21.60% |
20.79% |
14.78% |
16.67% |
33.77% |
33.16% |
30.78% |
29.24% |
59.18% |
| Avg Days To Max Decline |
18 |
12 |
14 |
16 |
18 |
19 |
26 |
19 |
16 |
15 |
15 |
| Avg Max Increase |
-1.75% |
-2.09% |
-2.57% |
-2.50% |
-3.26% |
-4.41% |
-5.03% |
-3.16% |
-4.72% |
-4.64% |
-4.16% |
| Max Increase |
-4.64% |
-9.42% |
-14.10% |
-9.41% |
-9.42% |
-13.68% |
-21.21% |
-6.95% |
-39.51% |
-11.96% |
-15.13% |
| Avg Days to Max Increase |
10 |
5 |
7 |
9 |
10 |
15 |
15 |
8 |
7 |
9 |
6 |
| 2005 Contract Condition |
Yes |
|
|
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
No |
|
|
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
| High |
89.60 |
105.00 |
113.50 |
111.85 |
130.25 |
144.25 |
137.50 |
131.50 |
130.00 |
110.00 |
108.50 |
| Low |
81.00 |
82.00 |
99.00 |
101.00 |
109.75 |
124.90 |
115.10 |
119.05 |
104.50 |
96.15 |
91.60 |
| Close/Last |
82.25 |
102.70 |
109.20 |
111.45 |
125.80 |
131.60 |
130.60 |
121.55 |
108.05 |
103.15 |
97.75 |
|
|