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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cocoa(ICE) as of Jan 01, 2010
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 19 23 26 26 23 14 20 25 17 21
Exceeded High 13 18 19 19 18 16 13 15 19 14 15
Scenario Percentage 76% 95% 83% 73% 69% 70% 93% 75% 76% 82% 71%
Avg Max Increase 14.33% 13.50% 11.79% 14.23% 12.04% 11.51% 10.29% 12.49% 15.37% 10.47% 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 20 16 17 15 15 13 15 14 13 11 11
Avg Max Decline -3.25% -3.74% -2.29% -3.62% -2.37% -3.42% -1.65% -3.31% -3.53% -1.94% -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 12 8 9 7 9 5 8 9 6 3
2009 Contract Condition Yes Yes Yes   Yes     Yes Yes Yes  
Action Yes Yes Yes   No     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 26 22 19 19 22 31 25 20 28 24
Penetrated Low 23 23 14 16 16 19 23 16 17 20 18
Scenario Percentage 82% 88% 64% 84% 84% 86% 74% 64% 85% 71% 75%
Avg Max Decline 8.87% 8.09% 8.40% 7.55% 8.75% 9.32% 7.45% 7.98% 10.35% 8.89% 17.93%
Max Decline 23.71% 25.54% 21.86% 24.75% 17.63% 26.89% 13.12% 19.34% 27.04% 26.24% 51.01%
Avg Days To Max Decline 17 19 14 17 19 21 16 17 15 14 11
Avg Max Increase -1.80% -2.41% -2.15% -2.31% -4.60% -2.28% -2.92% -3.39% -3.37% -2.08% -2.19%
Max Increase -5.65% -13.99% -7.06% -7.87% -14.30% -9.27% -14.18% -11.63% -15.13% -9.21% -9.52%
Avg Days to Max Increase 8 8 7 11 15 11 7 12 10 7 5
2009 Contract Condition       Yes   Yes Yes       Yes
Action       Yes   Yes No       Yes
High 2711 2734 3134 3228 3036 2806 2603 2308 2718 2837 2919
Low 2273 2495 2709 2759 2583 2499 1884 1903 2105 2340 2356
Close/Last 2686 2718 3115 2878 2884 2577 2077 2294 2665 2771 2508

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