MRCI's ScenarioSM Study

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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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low 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 Lower	22	19	19	22	31	26	21	31	26	25	25
Penetrated Low	13	15	17	18	24	19	17	24	22	21	20
Scenario Percentage	59%	79%	89%	82%	77%	73%	81%	77%	85%	84%	80%
Avg Max Decline	8.46%	6.69%	8.47%	8.21%	7.42%	7.43%	10.06%	10.31%	11.18%	11.48%	13.76%
Max Decline	21.79%	24.31%	17.38%	16.36%	13.61%	19.75%	26.50%	31.56%	30.75%	25.76%	57.67%
Avg Days To Max Decline	15	17	20	20	16	17	13	19	21	14	12
Avg Max Increase	-2.23%	-1.83%	-3.99%	-2.08%	-2.41%	-3.17%	-3.02%	-1.91%	-3.89%	-3.16%	-2.89%
Max Increase	-6.44%	-6.64%	-13.43%	-8.12%	-13.00%	-11.04%	-13.94%	-8.99%	-23.79%	-10.49%	-13.84%
Avg Days to Max Increase	7	11	14	12	6	12	9	8	10	7	4
2007 Contract Condition		Yes	Yes	Yes				Yes			Yes
Action		Yes	Yes	Yes				No			Yes
High	1724	1812	1659	1585	1550	1597	1713	1713	1801	1969	2000
Low	1575	1570	1527	1479	1456	1505	1565	1601	1635	1697	1798
Close/Last	1724	1582	1552	1527	1542	1580	1658	1652	1732	1953	1815