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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
33 |
33 |
33 |
| Closed Higher |
17 |
15 |
15 |
16 |
16 |
6 |
10 |
19 |
11 |
17 |
16 |
| Exceeded High |
15 |
11 |
11 |
12 |
8 |
4 |
9 |
15 |
9 |
15 |
11 |
| Scenario Percentage |
88% |
73% |
73% |
75% |
50% |
67% |
90% |
79% |
82% |
88% |
69% |
| Avg Max Increase |
12.88% |
13.88% |
15.02% |
20.93% |
23.86% |
18.71% |
9.32% |
12.00% |
15.82% |
15.96% |
13.19% |
| Max Increase |
49.02% |
28.74% |
58.95% |
75.81% |
102.19% |
53.42% |
20.58% |
38.16% |
34.86% |
44.71% |
27.08% |
| Avg Days To Max Increase |
17 |
19 |
20 |
19 |
15 |
16 |
16 |
14 |
17 |
12 |
15 |
| Avg Max Decline |
-2.34% |
-1.70% |
-3.23% |
-2.65% |
-1.93% |
-9.21% |
-5.73% |
-2.51% |
-2.29% |
-2.08% |
-0.89% |
| Max Decline |
-7.62% |
-11.73% |
-10.40% |
-11.13% |
-5.28% |
-20.62% |
-20.13% |
-6.26% |
-12.69% |
-9.64% |
-4.10% |
| Avg Days to Max Decline |
9 |
5 |
8 |
6 |
8 |
16 |
10 |
7 |
6 |
5 |
4 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
|
|
|
Yes |
|
| Action |
Yes |
Yes |
No |
|
|
|
|
|
|
Yes |
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
33 |
33 |
33 |
| Closed Lower |
15 |
17 |
17 |
16 |
16 |
26 |
22 |
13 |
22 |
16 |
17 |
| Penetrated Low |
13 |
14 |
13 |
13 |
14 |
23 |
16 |
11 |
16 |
13 |
12 |
| Scenario Percentage |
87% |
82% |
76% |
81% |
88% |
88% |
73% |
85% |
73% |
81% |
71% |
| Avg Max Decline |
8.39% |
9.18% |
7.16% |
14.89% |
17.18% |
12.53% |
10.84% |
12.15% |
12.04% |
11.37% |
14.24% |
| Max Decline |
19.63% |
20.31% |
15.48% |
33.87% |
34.05% |
27.40% |
24.43% |
22.36% |
29.23% |
25.29% |
46.77% |
| Avg Days To Max Decline |
18 |
17 |
18 |
27 |
20 |
17 |
17 |
17 |
15 |
13 |
9 |
| Avg Max Increase |
-2.44% |
-3.08% |
-3.79% |
-4.59% |
-2.28% |
-4.17% |
-4.19% |
-4.90% |
-3.31% |
-2.84% |
-2.60% |
| Max Increase |
-9.34% |
-8.94% |
-11.74% |
-19.50% |
-6.54% |
-36.22% |
-11.05% |
-14.83% |
-10.87% |
-13.90% |
-11.34% |
| Avg Days to Max Increase |
6 |
9 |
14 |
15 |
9 |
6 |
9 |
9 |
10 |
11 |
4 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
No |
|
Yes |
| High |
114.45 |
130.00 |
147.00 |
141.00 |
134.25 |
133.50 |
113.90 |
113.00 |
105.50 |
106.80 |
108.50 |
| Low |
103.75 |
113.10 |
127.25 |
118.75 |
122.80 |
108.50 |
100.70 |
94.90 |
86.30 |
91.60 |
92.25 |
| Close/Last |
114.05 |
127.60 |
134.50 |
133.70 |
125.30 |
111.90 |
107.65 |
101.05 |
93.45 |
96.65 |
93.00 |
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