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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, 2013
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 22 16 18 25 18 22
Exceeded High   14 18 18 20 16 16 14 13 18 15 15
Scenario Percentage   82% 95% 82% 74% 64% 73% 88% 72% 72% 83% 68%
Avg Max Increase   13.33% 14.03% 11.83% 14.01% 12.03% 10.57% 9.94% 11.85% 16.79% 10.97% 7.25%
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 16 15 14 13 15 13 15 11 10
Avg Max Decline   -3.02% -3.96% -2.47% -3.81% -2.47% -3.14% -2.02% -3.37% -3.73% -2.46% -1.67%
Max Decline   -13.61% -10.55% -13.93% -12.19% -9.23% -9.09% -9.66% -9.48% -13.27% -7.77% -4.76%
Avg Days to Max Decline   6 13 8 9 7 7 5 8 9 6 3
2012 Contract Condition   Yes   Yes   Yes   Yes     Yes Yes
Action   No   Yes   No   No     Yes Not Yet
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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 23 29 27 20 27 23
Penetrated Low   24 23 14 16 16 20 22 16 16 20 12
Scenario Percentage   86% 88% 61% 89% 80% 87% 76% 59% 80% 74% 52%
Avg Max Decline   8.64% 7.19% 7.93% 8.30% 8.37% 9.59% 7.52% 8.15% 9.31% 8.18% 6.05%
Max Decline   23.71% 16.78% 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 15 18 18 21 16 17 14 13 8
Avg Max Increase   -1.96% -2.40% -2.79% -2.46% -4.30% -2.43% -3.08% -3.34% -3.58% -2.05% -0.30%
Max Increase   -5.65% -13.99% -8.31% -7.87% -14.30% -9.27% -14.18% -11.63% -15.13% -9.21% -1.50%
Avg Days to Max Increase   8 8 9 12 12 12 8 11 10 7 1
2012 Contract Condition     Yes   Yes   Yes   Yes Yes    
Action     Yes   Yes   Yes   Yes No    
High 3620 3401 3388 3216 3301 3180 3153 2791 2764 2324 2480 2519
Low 3029 3026 2965 2949 3038 2900 2630 2563 2259 1983 2003 2140
Close/Last 3050 3398 3101 3207 3056 3140 2648 2723 2305 2109 2291 2383

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