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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(ICE) as of Dec 30, 2011
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 28 23 22 14 19 26 16 20 22 20
Exceeded High   19 20 16 16 14 14 20 16 15 18 9
Scenario Percentage   83% 71% 70% 73% 100% 74% 77% 100% 75% 82% 45%
Avg Max Increase   12.02% 13.57% 11.80% 10.23% 9.64% 11.94% 15.17% 10.96% 16.85% 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 16 17 20 13 11
Avg Max Decline   -2.24% -3.62% -2.28% -3.62% -1.92% -2.86% -3.67% -3.34% -3.03% -3.84% -2.01%
Max Decline   -13.94% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -7.98% -7.85% -6.60%
Avg Days to Max Decline   9 8 7 8 7 8 8 9 11 6 3
2011 Contract Condition     Yes   Yes     Yes Yes Yes   Yes
Action     No   Yes     Yes Yes Yes   Not Yet
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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 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 Lower   22 17 22 22 31 26 19 29 25 23 25
Penetrated Low   12 15 18 19 22 17 15 23 21 21 16
Scenario Percentage   55% 88% 82% 86% 71% 65% 79% 79% 84% 91% 64%
Avg Max Decline   8.12% 7.70% 9.80% 9.15% 7.66% 6.96% 9.43% 9.75% 10.96% 10.91% 5.27%
Max Decline   21.79% 24.31% 33.40% 26.03% 13.61% 19.75% 21.46% 19.84% 30.75% 25.76% 13.83%
Avg Days To Max Decline   16 17 20 20 17 16 13 19 20 13 9
Avg Max Increase   -2.99% -2.01% -3.78% -1.93% -2.61% -3.35% -3.42% -2.17% -3.85% -3.00% -1.57%
Max Increase   -7.95% -6.64% -13.43% -8.12% -13.00% -11.04% -13.94% -8.99% -23.79% -10.49% -5.79%
Avg Days to Max Increase   8 11 14 11 7 10 10 8 10 7 2
2011 Contract Condition   Yes   Yes   Yes Yes       Yes  
Action   Yes   Yes   No No       Yes  
High 3298 3159 3231 3209 2922 2986 2962 3150 3390 3704 3775 3424
Low 2900 2972 2984 2737 2648 2750 2751 2765 2842 3199 2936 2925
Close/Last 3056 2993 3151 2789 2858 2852 2827 3052 3354 3695 2952 3390

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