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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb 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 21 24 24 21 21 30 26 23 23
Exceeded High   15 18 19 21 20 19 19 23 20 18 12
Scenario Percentage   94% 75% 90% 88% 83% 90% 90% 77% 77% 78% 52%
Avg Max Increase   13.06% 17.76% 15.07% 15.06% 13.89% 16.30% 20.87% 17.81% 22.21% 18.93% 13.99%
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   21 20 19 20 18 18 18 15 17 15 16
Avg Max Decline   -3.79% -1.75% -2.49% -3.62% -4.30% -3.68% -3.24% -3.44% -4.03% -3.93% -3.55%
Max Decline   -11.88% -8.33% -13.62% -15.38% -13.02% -12.93% -8.44% -13.12% -12.69% -8.18% -10.07%
Avg Days to Max Decline   9 3 6 7 9 11 7 8 11 7 3
2012 Contract Condition         Yes Yes Yes   Yes     Yes
Action         Yes Yes No   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 Feb 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 24 20 21 24 24 15 19 21 22
Penetrated Low   19 17 19 16 15 17 17 8 14 15 16
Scenario Percentage   68% 85% 79% 80% 71% 71% 71% 53% 74% 71% 73%
Avg Max Decline   13.85% 13.69% 13.52% 15.39% 17.14% 13.52% 10.32% 8.38% 11.60% 16.00% 9.92%
Max Decline   30.90% 34.91% 24.89% 28.50% 36.32% 31.31% 23.57% 18.31% 30.22% 39.09% 19.35%
Avg Days To Max Decline   17 16 18 20 18 13 14 16 15 17 17
Avg Max Increase   -2.35% -2.36% -2.69% -3.75% -2.73% -2.75% -5.04% -6.07% -2.89% -4.03% -3.19%
Max Increase   -10.78% -8.81% -10.03% -12.28% -6.40% -7.77% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   6 5 8 10 8 9 8 12 3 6 4
2012 Contract Condition   Yes Yes Yes       Yes   Yes Yes  
Action   Yes Yes No       Yes   Yes Not Yet  
High 26.80 25.88 24.69 23.25 26.42 30.14 30.60 28.96 28.35 26.18 24.25 25.21
Low 22.80 21.83 22.64 21.10 22.44 25.13 25.38 24.01 24.31 22.71 22.62 22.82
Close/Last 25.02 23.76 23.24 23.17 25.71 28.51 28.88 25.29 25.77 23.69 23.30 23.64

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