MRCI Online
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| ScenarioSM Study for May Cocoa(ICE) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr |
| Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 |
| Closed Higher | 23 | 26 | 26 | 22 | 14 | 19 | 24 | 14 | 19 | 20 | 20 |
| Exceeded High | 18 | 19 | 19 | 15 | 13 | 14 | 18 | 13 | 14 | 16 | 10 |
| Scenario Percentage | 78% | 73% | 73% | 68% | 93% | 74% | 75% | 93% | 74% | 80% | 50% |
| Avg Max Increase | 12.45% | 13.75% | 11.91% | 12.35% | 9.99% | 10.96% | 13.25% | 10.12% | 18.22% | 11.04% | 6.54% |
| Max Increase | 27.80% | 37.58% | 34.66% | 26.15% | 20.86% | 23.80% | 56.27% | 25.81% | 65.86% | 39.74% | 22.25% |
| Avg Days To Max Increase | 18 | 15 | 16 | 16 | 16 | 13 | 15 | 18 | 21 | 13 | 10 |
| Avg Max Decline | -2.36% | -3.43% | -2.12% | -3.27% | -1.56% | -3.15% | -3.15% | -3.40% | -3.08% | -3.91% | -1.95% |
| Max Decline | -13.94% | -12.03% | -9.43% | -8.69% | -8.39% | -9.06% | -13.44% | -13.28% | -10.58% | -7.85% | -6.60% |
| Avg Days to Max Decline | 9 | 7 | 7 | 9 | 7 | 10 | 8 | 10 | 12 | 6 | 3 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
