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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 24 15 20 25 14 20 20 18 19 23
Exceeded High   17 17 13 14 20 13 15 15 13 16 19
Scenario Percentage   74% 71% 87% 70% 80% 93% 75% 75% 72% 84% 83%
Avg Max Increase   10.70% 10.74% 9.77% 10.75% 13.38% 10.92% 16.89% 14.90% 16.04% 12.07% 7.54%
Max Increase   34.26% 26.44% 20.03% 23.00% 54.06% 25.92% 67.00% 45.98% 47.32% 40.90% 23.61%
Avg Days To Max Increase   16 16 15 12 14 16 21 18 20 11 9
Avg Max Decline   -1.90% -3.17% -1.39% -2.48% -2.08% -2.29% -3.24% -3.81% -4.31% -4.58% -0.61%
Max Decline   -6.42% -8.37% -7.34% -9.28% -10.04% -5.18% -10.57% -7.72% -12.50% -11.26% -4.84%
Avg Days to Max Decline   6 9 7 6 7 7 12 7 14 10 2
2008 Contract Condition     Yes   Yes Yes Yes Yes   Yes   Yes
Action     Yes   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 30 24 20 31 25 25 27 26 22
Penetrated Low   17 18 24 18 16 23 21 22 22 21 9
Scenario Percentage   81% 86% 80% 75% 80% 74% 84% 88% 81% 81% 41%
Avg Max Decline   8.58% 8.03% 6.97% 6.79% 9.91% 10.31% 11.30% 13.13% 11.02% 8.83% 6.45%
Max Decline   17.01% 16.36% 13.39% 19.16% 24.80% 30.20% 26.80% 29.45% 31.58% 26.74% 15.94%
Avg Days To Max Decline   20 19 16 18 15 21 22 18 17 12 9
Avg Max Increase   -4.13% -1.79% -2.17% -2.91% -2.87% -1.70% -4.16% -2.94% -2.74% -2.43% -0.30%
Max Increase   -11.50% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -10.66% -12.36% -10.76% -3.85%
Avg Days to Max Increase   16 11 6 11 10 8 10 10 9 6 2
2008 Contract Condition   Yes   Yes         Yes   Yes  
Action   No   No         Yes   Not Yet  
High 2200 2023 1984 2001 2008 2152 2374 2823 2983 2824 2797 3280
Low 2019 1804 1825 1841 1922 1988 2053 2338 2271 2251 2539 2719
Close/Last 2030 1873 1982 1968 1995 2045 2369 2789 2349 2776 2723 3245

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