MRCI Online
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| ScenarioSM Study for July 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 | 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 | 22 | 23 | 14 | 21 | 25 | 15 | 20 | 21 | 18 | 19 | 22 |
| Exceeded High | 16 | 16 | 13 | 15 | 21 | 14 | 15 | 16 | 13 | 16 | 18 |
| Scenario Percentage | 73% | 70% | 93% | 71% | 84% | 93% | 75% | 76% | 72% | 84% | 82% |
| Avg Max Increase | 10.53% | 10.63% | 9.77% | 11.65% | 13.22% | 10.52% | 16.89% | 14.42% | 16.04% | 12.41% | 7.83% |
| Max Increase | 34.26% | 26.44% | 20.03% | 24.17% | 54.06% | 25.92% | 67.00% | 45.98% | 47.32% | 40.90% | 23.61% |
| Avg Days To Max Increase | 15 | 15 | 15 | 13 | 14 | 16 | 21 | 17 | 20 | 12 | 9 |
| Avg Max Decline | -1.97% | -3.35% | -1.39% | -2.82% | -2.51% | -2.35% | -3.24% | -3.65% | -4.31% | -4.40% | -0.69% |
| Max Decline | -6.42% | -8.37% | -7.34% | -9.28% | -11.07% | -5.18% | -10.57% | -7.72% | -12.50% | -11.26% | -4.84% |
| Avg Days to Max Decline | 6 | 9 | 7 | 5 | 7 | 7 | 12 | 7 | 14 | 9 | 2 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
