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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(ICE) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 16 24 20 21 22 18 21 28 26 22 22
Exceeded High 14 17 18 18 17 17 19 22 20 17 10
Scenario Percentage 88% 71% 90% 86% 77% 94% 90% 79% 77% 77% 45%
Avg Max Increase 12.80% 17.53% 15.03% 13.36% 11.85% 14.93% 18.80% 17.74% 22.21% 19.49% 15.83%
Max Increase 60.89% 50.21% 53.74% 65.38% 45.05% 57.97% 102.45% 70.10% 90.79% 127.09% 51.19%
Avg Days To Max Increase 20 20 18 19 19 19 18 14 17 17 16
Avg Max Decline -3.77% -1.81% -2.42% -3.69% -4.04% -3.93% -3.11% -3.00% -4.03% -3.76% -3.53%
Max Decline -11.88% -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 9 3 6 7 9 12 7 8 11 7 4
2009 Contract Condition   Yes   Yes Yes           Yes
Action   No   Yes Yes           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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 28 20 25 23 23 27 24 17 19 22 23
Penetrated Low 19 17 22 19 17 19 17 11 15 17 20
Scenario Percentage 68% 85% 88% 83% 74% 70% 71% 65% 79% 77% 87%
Avg Max Decline 14.76% 14.64% 13.42% 15.77% 16.91% 13.49% 10.93% 11.46% 13.72% 15.58% 23.67%
Max Decline 30.90% 34.91% 24.89% 28.50% 36.32% 31.31% 23.57% 32.02% 30.22% 38.56% 79.94%
Avg Days To Max Decline 19 16 18 22 19 14 14 18 15 15 11
Avg Max Increase -1.95% -2.72% -3.15% -4.02% -3.43% -2.69% -4.79% -4.65% -2.71% -4.12% -4.41%
Max Increase -9.30% -8.81% -10.03% -12.28% -10.79% -7.77% -20.63% -14.50% -8.65% -16.35% -11.53%
Avg Days to Max Increase 5 5 7 11 8 9 8 10 3 7 8
2009 Contract Condition Yes   Yes     Yes Yes Yes Yes Yes  
Action No   Yes     Yes Yes No Yes No  
High 15.80 14.78 13.99 14.70 15.65 15.85 14.93 14.07 13.00 12.07 13.05
Low 12.57 12.72 12.59 12.42 13.23 14.17 13.27 10.44 11.23 10.51 11.32
Close/Last 13.08 13.64 12.82 14.62 15.11 14.56 13.66 12.02 11.90 11.81 12.67

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