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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(NYBOT) as of Dec 31, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 43 43 43 43 43 43 43 43 43 43 43
Closed Higher 23 19 17 19 20 19 29 24 21 19 18
Exceeded High 17 16 14 15 18 17 22 19 16 9  
Scenario Percentage 74% 84% 82% 79% 90% 89% 76% 79% 76% 47% 0%
Avg Max Increase 20.53% 15.20% 15.31% 12.35% 19.77% 22.76% 17.88% 22.79% 19.06% 16.14%  
Max Increase 60.55% 53.74% 65.38% 45.05% 97.05% 102.45% 70.10% 90.79% 127.09% 51.19%  
Avg Days To Max Increase 19 18 20 17 20 17 14 17 17 16  
Avg Max Decline -1.74% -2.54% -3.58% -3.85% -4.17% -2.91% -2.98% -3.94% -3.54% -3.48%  
Max Decline -8.33% -13.62% -15.38% -13.02% -12.93% -8.44% -10.60% -12.69% -8.18% -10.07%  
Avg Days to Max Decline 3 6 7 8 11 7 7 11 7 3  
2005 Contract Condition Yes Yes Yes Yes   Yes   Yes Yes Yes  
Action Yes Yes Yes Yes   Yes   Yes Yes    
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 43 43 43 43 43 43 43 43 43 43 43
Closed Lower 19 24 25 24 23 24 14 18 21 24 25
Penetrated Low 16 21 21 18 17 16 11 14 17 17 25
Scenario Percentage 84% 88% 84% 75% 74% 67% 79% 78% 81% 71% 100%
Avg Max Decline 14.97% 13.84% 16.34% 15.48% 12.47% 10.28% 11.86% 13.86% 16.52% 11.23% 100.00%
Max Decline 34.91% 24.89% 35.14% 36.32% 31.31% 19.78% 32.02% 30.22% 39.30% 19.64% 100.00%
Avg Days To Max Decline 16 18 21 19 14 15 20 15 18 17 1
Avg Max Increase -3.38% -2.71% -4.11% -3.85% -2.53% -4.97% -4.82% -2.88% -4.36% -3.10% 100.00%
Max Increase -9.54% -8.11% -12.28% -10.79% -7.77% -20.63% -14.50% -8.65% -16.35% -9.59% 100.00%
Avg Days to Max Increase 6 6 10 9 9 9 12 3 7 5 1
2005 Contract Condition         Yes   Yes        
Action         No   Yes        
High 7.56 7.56 8.17 8.81 8.84 9.10 9.37 8.98 9.08 9.20  
Low 6.54 7.06 7.45 7.99 8.13 8.18 8.55 8.35 8.44 9.07  
Close/Last 7.46 7.55 8.09 8.72 8.57 9.06 8.60 8.84 9.04 9.17