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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 24 22 20 21 20 21 18 20 20 16
Exceeded High   19 18 19 16 18 18 15 16 17 16 13
Scenario Percentage   70% 75% 86% 80% 86% 90% 71% 89% 85% 80% 81%
Avg Max Increase   14.73% 16.27% 20.48% 19.05% 13.46% 12.66% 18.72% 17.69% 14.41% 11.37% 11.03%
Max Increase   56.25% 58.71% 121.90% 60.02% 43.87% 67.91% 55.89% 65.50% 67.94% 44.66% 24.49%
Avg Days To Max Increase   18 18 16 15 14 18 19 19 15 11 15
Avg Max Decline   -2.95% -2.30% -2.77% -3.24% -1.17% -4.05% -2.65% -2.61% -5.13% -4.12% -1.44%
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   8 10 6 8 6 8 6 7 8 10 4
2008 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes Yes  
Action   Yes Yes Yes Yes Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 21 23 25 24 25 24 27 25 24 29
Penetrated Low   14 15 20 19 19 19 20 23 20 17 22
Scenario Percentage   82% 71% 87% 76% 79% 76% 83% 85% 80% 71% 76%
Avg Max Decline   6.82% 11.00% 12.58% 13.69% 15.55% 16.87% 16.83% 16.46% 19.88% 21.52% 12.02%
Max Decline   19.66% 21.43% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   17 17 16 18 21 21 18 19 21 22 21
Avg Max Increase   -2.99% -1.63% -3.28% -3.23% -3.26% -2.89% -2.93% -3.84% -5.79% -4.77% -2.55%
Max Increase   -10.34% -5.83% -17.43% -13.66% -9.09% -13.18% -10.78% -12.52% -21.36% -11.14% -10.36%
Avg Days to Max Increase   12 7 10 5 6 6 4 8 10 9 6
2008 Contract Condition             Yes   Yes     Yes
Action             Yes   Yes     Yes
High 10.43 10.60 10.73 11.77 13.78 15.27 15.43 14.17 13.00 13.28 14.35 14.69
Low 9.93 9.92 10.33 10.50 11.41 12.71 12.00 12.11 11.19 10.86 11.73 12.70
Close/Last 10.35 10.43 10.56 11.57 13.31 14.97 12.52 12.70 11.43 13.10 13.93 12.76

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