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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 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 24 26 25 22 13 20 25 15 20 21 20
Exceeded High 20 19 18 15 13 15 20 15 15 16 9
Scenario Percentage 83% 73% 72% 68% 100% 75% 80% 100% 75% 76% 45%
Avg Max Increase 11.51% 13.75% 11.78% 11.52% 9.99% 12.05% 14.31% 10.85% 17.41% 10.48% 5.55%
Max Increase 27.80% 37.58% 34.66% 26.15% 20.86% 24.73% 56.27% 26.21% 65.86% 32.06% 12.42%
Avg Days To Max Increase 17 15 15 16 16 14 15 17 20 11 10
Avg Max Decline -2.12% -3.43% -2.19% -3.77% -1.56% -3.16% -3.40% -3.26% -3.20% -3.60% -1.37%
Max Decline -13.94% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -10.58% -7.85% -4.93%
Avg Days to Max Decline 9 7 7 10 7 8 9 9 12 5 2
2009 Contract Condition Yes         Yes Yes Yes   Yes  
Action 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 21 19 20 22 32 25 20 30 25 24 25
Penetrated Low 12 16 17 19 24 18 16 23 21 21 20
Scenario Percentage 57% 84% 85% 86% 75% 72% 80% 77% 84% 88% 80%
Avg Max Decline 8.65% 7.33% 10.08% 9.15% 7.42% 7.20% 10.50% 10.47% 11.35% 11.10% 14.52%
Max Decline 21.79% 24.31% 33.40% 26.03% 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 14 19 20 13 11
Avg Max Increase -2.27% -1.98% -3.89% -1.93% -2.41% -3.23% -3.21% -1.96% -3.96% -3.12% -3.12%
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 15 11 6 11 10 8 10 7 4
2009 Contract Condition   Yes Yes Yes Yes       Yes   Yes
Action   Yes Yes Yes No       Yes   Yes
High 3126 3214 3030 2800 2562 2288 2705 2845 2917 2626 2795
Low 2733 2762 2585 2500 1910 1915 2098 2350 2313 2198 2307
Close/Last 3109 2880 2868 2582 2095 2281 2657 2779 2413 2605 2345

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