MRCI's ScenarioSM Study

ScenarioSM Study for March Cocoa(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	Mar	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	18	22	26	26	24	15	19	25	16	21
Exceeded High		13	17	18	19	19	17	13	14	18	13	15
Scenario Percentage		76%	94%	82%	73%	73%	71%	87%	74%	72%	81%	71%
Avg Max Increase		13.23%	13.19%	12.24%	14.23%	12.16%	11.60%	10.29%	11.69%	15.70%	10.86%	7.69%
Max Increase		35.46%	45.34%	27.78%	38.29%	33.68%	27.14%	21.83%	26.12%	58.58%	25.62%	23.13%
Avg Days To Max Increase		18	17	17	15	15	14	15	13	14	11	11
Avg Max Decline		-2.83%	-3.94%	-2.29%	-3.62%	-2.30%	-3.26%	-1.65%	-2.96%	-3.05%	-1.81%	-1.48%
Max Decline		-13.61%	-10.55%	-13.93%	-12.19%	-9.23%	-9.09%	-9.66%	-9.48%	-13.27%	-7.77%	-4.18%
Avg Days to Max Decline		6	13	8	9	7	8	5	8	9	6	3
2008 Contract Condition			Yes	Yes			Yes		Yes	Yes	Yes	Yes
Action			Yes	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	Mar	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	27	23	19	19	21	30	26	20	29	24
Penetrated Low		23	24	15	15	16	18	23	17	17	21	12
Scenario Percentage		82%	89%	65%	79%	84%	86%	77%	65%	85%	72%	50%
Avg Max Decline		8.87%	8.42%	8.28%	7.17%	8.75%	8.35%	7.45%	8.22%	10.35%	8.81%	5.80%
Max Decline		23.71%	25.54%	21.86%	24.75%	17.63%	16.13%	13.12%	19.34%	27.04%	26.24%	9.42%
Avg Days To Max Decline		17	19	15	17	19	20	16	18	15	14	8
Avg Max Increase		-1.80%	-2.29%	-2.12%	-2.09%	-4.60%	-2.35%	-2.92%	-3.32%	-3.37%	-2.01%	-0.47%
Max Increase		-5.65%	-13.99%	-7.06%	-7.87%	-14.30%	-9.27%	-14.18%	-11.63%	-15.13%	-9.21%	-1.50%
Avg Days to Max Increase		8	8	8	11	15	12	7	13	10	7	1
2008 Contract Condition		Yes			Yes	Yes		Yes
Action		Yes			Yes	No		No
High	2042	2075	2041	2113	2174	2001	1994	2000	1999	2147	2330	2800
Low	1788	1858	1841	1893	1965	1772	1791	1810	1898	1956	2028	2301
Close/Last	2042	1876	1953	2110	2002	1844	1985	1958	1983	2035	2326	2754