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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, 2014
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   40 40 40 40 40 40 40 40 41 41 41
Closed Higher   22 17 17 19 18 9 14 23 15 20 22
Exceeded High   17 13 13 14 10 7 12 17 13 18 15
Scenario Percentage   77% 76% 76% 74% 56% 78% 86% 74% 87% 90% 68%
Avg Max Increase   13.77% 12.77% 14.15% 19.09% 19.98% 14.64% 9.87% 11.50% 14.76% 15.30% 10.66%
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% -0.95%
Max Decline   -7.62% -11.73% -10.40% -11.13% -5.28% -20.62% -20.13% -6.26% -12.69% -9.64% -4.40%
Avg Days to Max Decline   8 8 8 5 6 12 11 9 5 5 2
2013 Contract Condition   Yes                   Yes
Action   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   40 40 40 40 40 40 40 40 41 41 41
Closed Lower   18 23 23 21 22 31 26 17 26 21 19
Penetrated Low   16 20 18 17 18 28 19 14 20 17 11
Scenario Percentage   89% 87% 78% 81% 82% 90% 73% 82% 77% 81% 58%
Avg Max Decline   8.78% 9.05% 7.64% 13.59% 15.34% 11.48% 10.32% 10.81% 11.68% 10.21% 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 19 24 21 16 19 18 14 12 10
Avg Max Increase   -2.44% -2.58% -3.92% -4.41% -2.32% -4.04% -5.13% -5.11% -2.90% -2.76% -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 15 13 10 6 11 10 9 8 2
2013 Contract Condition     Yes Yes Yes Yes Yes Yes Yes Yes Yes  
Action     Yes Yes Yes Yes Yes Yes Yes Yes Yes  
High 166.65 169.30 161.90 156.25 150.35 154.30 135.25 135.80 127.00 121.10 117.95 111.85
Low 154.00 155.95 147.50 141.75 138.55 130.60 120.50 120.30 116.10 113.50 105.25 100.95
Close/Last 156.45 159.35 152.60 146.25 140.85 132.60 123.35 121.30 116.30 113.70 105.40 110.25

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