MRCI's ScenarioSM Study

ScenarioSM Study for March Cocoa(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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	45	45	45	45	45	45	45	45	45	45	45
Closed Higher	17	17	22	26	26	23	15	19	24	16	20
Exceeded High	13	16	17	19	19	16	13	14	17	12	14
Scenario Percentage	76%	94%	77%	73%	73%	70%	87%	74%	71%	75%	70%
Avg Max Increase	13.23%	13.30%	12.79%	14.23%	12.16%	12.28%	10.29%	11.52%	14.41%	9.48%	7.75%
Max Increase	35.46%	45.34%	27.78%	38.29%	33.68%	27.14%	21.83%	26.12%	58.58%	18.90%	23.13%
Avg Days To Max Increase	18	18	18	15	15	15	15	12	13	10	10
Avg Max Decline	-2.83%	-4.00%	-2.37%	-3.62%	-2.30%	-3.42%	-1.65%	-3.30%	-3.20%	-1.87%	-1.28%
Max Decline	-13.61%	-10.55%	-13.93%	-12.19%	-9.23%	-9.09%	-9.66%	-9.48%	-13.27%	-7.77%	-2.40%
Avg Days to Max Decline	6	13	8	9	7	9	5	10	9	6	3
2007 Contract Condition	Yes		Yes				Yes	Yes	Yes		Yes
Action	Yes		Yes				Yes	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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	45	45	45	45	45	45	45	45	45	45	45
Closed Lower	28	28	23	19	19	22	30	26	21	29	25
Penetrated Low	23	25	15	15	17	18	23	17	18	21	18
Scenario Percentage	82%	89%	65%	79%	89%	82%	77%	65%	86%	72%	72%
Avg Max Decline	9.09%	8.23%	8.28%	6.92%	8.60%	8.35%	7.45%	8.22%	9.95%	8.75%	16.44%
Max Decline	23.71%	25.54%	21.86%	24.75%	17.63%	16.13%	13.12%	19.34%	27.04%	26.24%	51.01%
Avg Days To Max Decline	18	19	15	17	19	20	16	18	14	13	11
Avg Max Increase	-1.92%	-2.33%	-2.12%	-2.11%	-4.29%	-2.35%	-2.92%	-3.32%	-3.17%	-1.76%	-2.21%
Max Increase	-5.65%	-13.99%	-7.06%	-7.87%	-14.30%	-9.27%	-14.18%	-11.63%	-15.13%	-9.21%	-9.11%
Avg Days to Max Increase	9	8	8	11	15	12	7	13	9	6	6
2007 Contract Condition		Yes		Yes	Yes	Yes				Yes
Action		Yes		Yes	Yes	Yes				Not Yet
High	1615	1655	1709	1792	1647	1563	1526	1575	1694	1696	1788
Low	1520	1551	1555	1545	1500	1454	1433	1477	1543	1566	1597
Close/Last	1602	1572	1704	1562	1525	1504	1518	1557	1635	1617	1720