MRCI's ScenarioSM Study

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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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low 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 Lower	22	22	31	23	20	30	25	24	27	26	23
Penetrated Low	18	19	24	17	16	22	21	21	22	21	12
Scenario Percentage	82%	86%	77%	74%	80%	73%	84%	88%	81%	81%	52%
Avg Max Decline	9.91%	8.94%	6.97%	6.53%	9.91%	10.47%	11.22%	13.25%	11.10%	8.83%	14.90%
Max Decline	32.59%	25.41%	13.39%	19.16%	24.80%	30.20%	26.80%	29.45%	31.58%	26.74%	51.31%
Avg Days To Max Decline	20	18	16	17	15	21	21	19	17	12	13
Avg Max Increase	-3.73%	-1.65%	-2.17%	-2.96%	-2.87%	-1.75%	-3.94%	-3.01%	-2.96%	-2.43%	-2.90%
Max Increase	-11.50%	-7.61%	-13.02%	-10.78%	-11.34%	-9.12%	-23.79%	-10.66%	-12.36%	-10.76%	-11.66%
Avg Days to Max Increase	16	11	6	10	10	8	9	11	9	6	5
2009 Contract Condition	Yes	Yes	Yes				Yes		Yes		Yes
Action	Yes	Yes	No				Yes		Yes		Not Yet
High	3027	2777	2567	2274	2677	2810	2912	2629	2796	2646	2823
Low	2595	2519	1932	1932	2093	2353	2313	2175	2350	2262	2421
Close/Last	2866	2590	2109	2263	2646	2764	2403	2605	2375	2588	2487