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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Sugar #11(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 44 44 44 44 44 44 44 44 44 44 44
Closed Higher 26 23 21 19 20 20 20 18 19 19 16
Exceeded High 18 17 18 15 17 18 15 16 16 15 12
Scenario Percentage 69% 74% 86% 79% 85% 90% 75% 89% 84% 79% 75%
Avg Max Increase 14.83% 15.43% 19.84% 19.26% 14.08% 12.66% 18.72% 17.69% 14.55% 11.55% 10.42%
Max Increase 56.25% 58.71% 121.90% 60.02% 43.87% 67.91% 55.89% 65.50% 67.94% 44.66% 21.57%
Avg Days To Max Increase 18 18 16 16 14 18 19 19 16 10 14
Avg Max Decline -3.06% -2.40% -2.85% -3.15% -1.24% -4.05% -2.65% -2.61% -4.80% -3.48% -1.35%
Max Decline -7.70% -7.34% -10.66% -8.60% -14.62% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline 9 10 6 8 6 8 6 7 7 8 4
2007 Contract Condition   Yes             Yes Yes  
Action   No             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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 44 44 44 44 44 44 44 44 44 44 44
Closed Lower 17 21 23 25 24 24 24 26 25 24 28
Penetrated Low 14 15 20 19 19 18 20 22 20 17 24
Scenario Percentage 82% 71% 87% 76% 79% 75% 83% 85% 80% 71% 86%
Avg Max Decline 6.82% 11.00% 12.58% 13.69% 15.55% 17.21% 16.83% 16.99% 19.88% 21.15% 19.93%
Max Decline 19.66% 21.43% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 49.26%
Avg Days To Max Decline 17 17 16 18 21 21 18 20 21 20 15
Avg Max Increase -2.99% -1.63% -3.28% -3.23% -3.26% -2.32% -2.93% -3.86% -5.79% -4.34% -3.62%
Max Increase -10.34% -5.83% -17.43% -13.66% -9.09% -7.83% -10.78% -12.52% -21.36% -11.14% -12.37%
Avg Days to Max Increase 12 7 10 5 6 6 4 8 10 7 8
2007 Contract Condition Yes   Yes Yes Yes Yes Yes Yes     Yes
Action Yes   Yes Yes Yes Yes Yes Yes     Not Yet
High 12.65 12.42 12.08 11.46 10.99 11.43 10.37 9.67 9.83 10.53 10.56
Low 11.20 11.60 11.05 10.73 10.40 10.25 9.39 8.87 8.70 9.17 9.08
Close/Last 11.89 12.08 11.57 10.94 10.72 10.36 9.45 9.39 9.52 10.33 9.48

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