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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 39 39 39 39 39 39 39 40 40 40
Closed Higher   21 17 17 19 18 9 14 23 15 20 21
Exceeded High   17 13 13 14 10 7 12 17 13 18 14
Scenario Percentage   81% 76% 76% 74% 56% 78% 86% 74% 87% 90% 67%
Avg Max Increase   13.77% 12.77% 14.15% 19.09% 19.98% 14.64% 9.87% 11.50% 14.76% 15.30% 11.09%
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   16 18 19 18 13 14 15 14 15 12 14
Avg Max Decline   -2.04% -1.97% -3.00% -2.60% -1.54% -6.21% -5.10% -2.55% -2.16% -2.29% -0.71%
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   8 8 8 5 6 12 11 9 5 5 2
2012 Contract Condition             Yes Yes   Yes    
Action             Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   39 39 39 39 39 39 39 39 40 40 40
Closed Lower   18 22 22 20 21 30 25 16 25 20 19
Penetrated Low   16 19 17 16 17 27 18 13 19 16 11
Scenario Percentage   89% 86% 77% 80% 81% 90% 72% 81% 76% 80% 58%
Avg Max Decline   8.78% 9.04% 7.46% 13.54% 15.69% 11.69% 10.53% 10.91% 11.71% 10.59% 6.45%
Max Decline   19.63% 20.31% 15.48% 33.87% 34.05% 27.40% 24.43% 22.36% 29.23% 25.29% 13.93%
Avg Days To Max Decline   19 18 18 24 20 16 18 17 15 12 10
Avg Max Increase   -2.44% -2.59% -3.83% -4.09% -2.31% -3.81% -5.15% -5.19% -2.85% -2.89% -1.26%
Max Increase   -9.34% -8.94% -11.74% -19.50% -6.54% -36.22% -19.40% -14.83% -10.87% -13.90% -5.00%
Avg Days to Max Increase   6 9 13 13 8 5 11 10 9 8 2
2012 Contract Condition   Yes Yes Yes Yes Yes     Yes   Yes Yes
Action   Yes Yes Yes Yes Yes     Yes   Yes Not Yet
High 244.50 247.10 234.35 213.30 199.10 191.10 174.60 194.85 180.50 183.70 185.45 156.40
Low 222.30 224.30 207.90 184.55 180.60 166.25 153.70 172.95 160.25 156.55 154.40 132.25
Close/Last 236.00 226.05 211.85 191.65 185.35 166.70 173.75 177.25 164.75 173.50 154.65 142.10

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