MRCI Online
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| ScenarioSM Study for May Cocoa(ICE) as of Dec 31, 2010 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | May | 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 | 27 | 24 | 22 | 14 | 20 | 26 | 15 | 20 | 22 | 20 | |
| Exceeded High | 19 | 20 | 17 | 16 | 14 | 15 | 20 | 15 | 15 | 18 | 9 | |
| Scenario Percentage | 83% | 74% | 71% | 73% | 100% | 75% | 77% | 100% | 75% | 82% | 45% | |
| Avg Max Increase | 12.02% | 13.57% | 12.36% | 11.34% | 9.64% | 12.05% | 14.31% | 10.85% | 17.41% | 10.72% | 6.87% | |
| Max Increase | 27.80% | 37.58% | 34.66% | 26.15% | 20.86% | 24.73% | 56.27% | 26.21% | 65.86% | 39.74% | 22.25% | |
| Avg Days To Max Increase | 18 | 15 | 15 | 16 | 16 | 14 | 15 | 17 | 20 | 13 | 11 | |
| Avg Max Decline | -2.24% | -3.62% | -2.24% | -3.87% | -1.92% | -3.16% | -3.40% | -3.26% | -3.20% | -3.84% | -2.01% | |
| 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 | 8 | 7 | 9 | 7 | 8 | 9 | 9 | 12 | 6 | 3 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | No | Yes | Not Yet | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
