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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Coffee "C"(ICE) as of Jan 01, 2010
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 36 36 36 36 36 36 36 36 36 36 36
Closed Higher 19 20 23 20 17 18 18 17 7 13 20
Exceeded High 15 18 19 15 12 14 14 8 5 11 13
Scenario Percentage 79% 90% 83% 75% 71% 78% 78% 47% 71% 85% 65%
Avg Max Increase 15.94% 14.16% 13.84% 13.56% 13.97% 19.83% 23.18% 26.91% 15.51% 10.14% 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 20 15 16 15 18 19 20 14 18 14 12
Avg Max Decline -1.59% -1.14% -1.69% -1.50% -1.56% -3.85% -3.08% -2.13% -11.15% -4.89% -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 9 5 8 8 6 6 6 7 17 8 5
2009 Contract Condition       Yes   Yes   Yes   Yes  
Action       No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 36 36 36 36 36 36 36 36 36 36 36
Closed Lower 17 16 13 16 19 18 18 19 29 23 16
Penetrated Low 12 14 11 14 16 14 15 16 26 13 12
Scenario Percentage 71% 88% 85% 88% 84% 78% 83% 84% 90% 57% 75%
Avg Max Decline 9.88% 8.25% 7.99% 8.58% 8.85% 8.52% 14.10% 15.18% 12.68% 11.92% 17.02%
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 16 11 14 17 18 18 24 19 16 15 16
Avg Max Increase -1.88% -1.72% -2.63% -2.40% -2.73% -4.50% -4.72% -3.20% -4.37% -4.75% -4.89%
Max Increase -4.64% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -6.95% -39.51% -11.96% -15.13%
Avg Days to Max Increase 9 5 7 8 9 15 14 7 6 10 7
2009 Contract Condition Yes Yes Yes   Yes   Yes   Yes   Yes
Action Yes Yes No   Yes   No   Yes   Not Yet
High 141.75 130.40 121.10 129.20 128.30 123.15 124.55 140.80 144.80 128.00 138.60
Low 119.00 118.65 110.00 112.75 114.65 109.00 115.00 117.90 117.55 113.35 118.60
Close/Last 126.00 123.05 118.55 125.15 116.35 119.75 118.10 139.40 119.90 127.85 120.90

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