MRCI's ScenarioSM Study

ScenarioSM Study for March Cocoa(ICE) as of Dec 31, 2010
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	19	22	27	25	23	15	20	26	17	21
Exceeded High		13	18	18	20	17	17	14	15	19	14	15
Scenario Percentage		76%	95%	82%	74%	68%	74%	93%	75%	73%	82%	71%
Avg Max Increase		14.33%	14.03%	12.33%	14.01%	12.62%	11.35%	9.94%	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	17	17	15	14	14	15	14	13	11	11
Avg Max Decline		-3.25%	-3.96%	-2.43%	-3.81%	-2.42%	-3.54%	-2.02%	-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	13	8	9	6	8	5	8	9	6	3
2010 Contract Condition			Yes		Yes		Yes	Yes		Yes
Action			Yes		Yes		Yes	Yes		No

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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	26	23	18	20	22	30	25	19	28	24
Penetrated Low		24	23	14	15	16	19	22	15	16	20	13
Scenario Percentage		86%	88%	61%	83%	80%	86%	73%	60%	84%	71%	54%
Avg Max Decline		8.64%	8.09%	8.40%	7.93%	8.75%	9.32%	7.53%	7.76%	9.31%	8.24%	6.05%
Max Decline		23.71%	25.54%	21.86%	24.75%	17.63%	26.89%	13.12%	19.34%	19.84%	15.89%	11.00%
Avg Days To Max Decline		17	19	14	17	19	21	16	17	14	14	8
Avg Max Increase		-1.96%	-2.41%	-2.15%	-2.35%	-4.60%	-2.28%	-3.07%	-3.51%	-3.58%	-2.32%	-0.34%
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	7	11	15	11	8	11	10	7	1
2010 Contract Condition		Yes		Yes		Yes			Yes		Yes	Yes
Action		Yes		No		No			No		Yes	Yes
High	2600	2732	2670	2880	2976	3039	3236	3439	3360	3510	3485	3203
Low	2169	2382	2336	2466	2488	2725	2824	2990	3102	3223	3172	2896
Close/Last	2591	2420	2633	2554	2942	2815	3161	3333	3259	3289	3184	2917