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