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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, 2013
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   39 39 39 39 39 39 39 39 39 39 39
Closed Higher   21 22 24 21 18 19 19 17 9 15 22
Exceeded High   17 19 20 16 13 15 15 8 7 12 15
Scenario Percentage   81% 86% 83% 76% 72% 79% 79% 47% 78% 80% 68%
Avg Max Increase   15.56% 13.65% 14.05% 14.06% 13.77% 18.67% 21.83% 26.91% 14.68% 9.94% 6.55%
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   21 15 17 14 19 18 19 14 18 13 10
Avg Max Decline   -1.81% -1.14% -1.78% -1.38% -1.88% -3.58% -2.93% -2.13% -8.92% -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   8 6 8 7 8 6 6 7 15 9 3
2012 Contract Condition     Yes             Yes Yes  
Action     No             Yes Not Yet  
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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   39 39 39 39 39 39 39 39 39 39 39
Closed Lower   18 17 15 18 21 20 20 22 30 24 17
Penetrated Low   13 14 13 16 17 16 17 18 27 14 10
Scenario Percentage   72% 82% 87% 89% 81% 80% 85% 82% 90% 58% 59%
Avg Max Decline   9.56% 8.25% 8.24% 8.94% 9.30% 8.52% 13.68% 14.57% 12.69% 10.42% 8.03%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 33.16% 30.78% 23.47% 18.46%
Avg Days To Max Decline   16 11 15 17 18 18 24 19 15 13 10
Avg Max Increase   -2.21% -1.72% -3.15% -2.49% -2.52% -4.32% -4.50% -3.05% -4.30% -4.67% -2.10%
Max Increase   -6.26% -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 8 14 13 7 6 9 3
2012 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes     Yes
Action   Yes   Yes Yes Yes Yes Yes Yes     Yes
High 288.85 255.00 247.75 243.40 244.80 230.75 209.70 195.55 187.50 171.75 192.20 177.85
Low 232.90 227.30 229.90 220.00 221.40 204.10 180.45 176.65 162.50 150.10 169.70 157.40
Close/Last 233.90 233.15 242.00 234.25 223.40 208.50 187.85 181.80 162.95 170.70 174.40 164.55

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