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| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Sugar #11(ICE) as of Jul 31, 2007 |
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 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Higher |
26 |
22 |
21 |
19 |
20 |
20 |
20 |
18 |
18 |
18 |
16 |
| Exceeded High |
18 |
17 |
18 |
15 |
17 |
17 |
15 |
16 |
15 |
14 |
12 |
| Scenario Percentage |
69% |
77% |
86% |
79% |
85% |
85% |
75% |
89% |
83% |
78% |
75% |
| Avg Max Increase |
14.83% |
15.43% |
19.86% |
19.41% |
14.08% |
13.24% |
18.72% |
17.69% |
14.79% |
12.21% |
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 |
18 |
14 |
19 |
19 |
19 |
17 |
11 |
14 |
| Avg Max Decline |
-3.06% |
-2.40% |
-2.85% |
-3.46% |
-1.24% |
-4.38% |
-2.65% |
-2.61% |
-4.87% |
-3.58% |
-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 |
10 |
6 |
9 |
6 |
7 |
7 |
8 |
4 |
| 2007 Contract Condition |
|
Yes |
|
|
|
|
|
|
Yes |
Yes |
|
| Action |
|
No |
|
|
|
|
|
|
Yes |
Not Yet |
|
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 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Lower |
16 |
21 |
22 |
24 |
23 |
23 |
23 |
25 |
25 |
24 |
27 |
| Penetrated Low |
13 |
15 |
19 |
18 |
18 |
17 |
19 |
21 |
20 |
17 |
24 |
| Scenario Percentage |
81% |
71% |
86% |
75% |
78% |
74% |
83% |
84% |
80% |
71% |
89% |
| Avg Max Decline |
6.80% |
11.00% |
12.71% |
14.10% |
15.72% |
17.38% |
17.30% |
17.44% |
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 |
18 |
17 |
17 |
18 |
20 |
21 |
19 |
20 |
21 |
20 |
15 |
| Avg Max Increase |
-2.88% |
-1.63% |
-3.50% |
-3.16% |
-3.07% |
-2.45% |
-2.96% |
-3.99% |
-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 |
11 |
4 |
6 |
6 |
4 |
9 |
10 |
7 |
8 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| High |
12.65 |
12.43 |
12.08 |
11.46 |
10.99 |
11.43 |
10.35 |
9.63 |
9.83 |
10.52 |
|
| Low |
11.20 |
11.60 |
11.05 |
10.73 |
10.40 |
10.27 |
9.43 |
8.88 |
8.71 |
9.18 |
|
| Close/Last |
11.89 |
12.08 |
11.57 |
10.94 |
10.72 |
10.36 |
9.45 |
9.39 |
9.52 |
10.33 |
|
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