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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 Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 37 37 37 37 37 37 37 37 37 37
Closed Higher   20 21 23 20 17 19 18 17 8 14 21
Exceeded High   16 19 19 15 12 15 14 8 6 12 14
Scenario Percentage   80% 90% 83% 75% 71% 79% 78% 47% 75% 86% 67%
Avg Max Increase   15.36% 13.65% 13.84% 13.56% 13.97% 18.67% 23.18% 26.91% 15.02% 10.17% 7.53%
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 18 20 14 19 14 12
Avg Max Decline   -1.72% -1.14% -1.69% -1.50% -1.56% -3.58% -3.08% -2.13% -10.30% -5.08% -1.10%
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 6 8 8 6 6 6 7 18 9 5
2011 Contract Condition   Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   37 37 37 37 37 37 37 37 37 37 37
Closed Lower   17 16 14 17 20 18 19 20 29 23 16
Penetrated Low   12 14 12 15 16 14 16 16 26 13 9
Scenario Percentage   71% 88% 86% 88% 80% 78% 84% 80% 90% 57% 56%
Avg Max Decline   9.88% 8.25% 7.85% 8.26% 8.85% 8.52% 13.45% 15.18% 12.68% 11.92% 9.89%
Max Decline   22.31% 17.16% 21.60% 20.79% 14.78% 16.67% 33.77% 33.16% 30.78% 29.24% 24.62%
Avg Days To Max Decline   16 11 15 17 18 18 24 19 16 15 14
Avg Max Increase   -1.88% -1.72% -3.03% -2.44% -2.73% -4.50% -4.58% -3.20% -4.37% -4.75% -2.39%
Max Increase   -4.64% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -6.95% -39.51% -11.96% -8.01%
Avg Days to Max Increase   9 5 7 8 9 15 14 7 6 10 4
2011 Contract Condition     Yes       Yes          
Action     No       Yes          
High 194.00 200.30 215.30 237.75 250.85 280.00 299.35 305.90 309.75      
Low 176.90 172.55 193.75 199.15 228.95 247.45 262.50 259.40 299.90      
Close/Last 182.15 200.25 199.45 236.95 246.40 274.95 269.10 302.50 307.80      

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