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