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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Apr 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 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   21 23 15 21 26 15 20 22 18 19 22
Exceeded High   15 17 14 15 22 14 15 17 13 16 18
Scenario Percentage   71% 74% 93% 71% 85% 93% 75% 77% 72% 84% 82%
Avg Max Increase   11.15% 10.50% 9.44% 11.65% 12.90% 10.52% 16.89% 14.05% 16.04% 11.92% 7.48%
Max Increase   34.26% 26.44% 20.03% 24.17% 54.06% 25.92% 67.00% 45.98% 47.32% 40.57% 23.61%
Avg Days To Max Increase   15 16 15 13 14 16 21 16 20 11 8
Avg Max Decline   -2.01% -3.47% -1.78% -2.82% -2.44% -2.35% -3.24% -3.76% -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 8 5 7 7 12 7 14 9 2
2011 Contract Condition     Yes     Yes Yes Yes   Yes    
Action     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 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   23 22 30 23 19 30 25 23 27 26 23
Penetrated Low   18 19 23 16 15 22 21 20 22 20 8
Scenario Percentage   78% 86% 77% 70% 79% 73% 84% 87% 81% 77% 35%
Avg Max Decline   9.91% 8.94% 7.05% 6.25% 8.92% 9.76% 10.84% 13.20% 11.10% 7.94% 4.66%
Max Decline   32.59% 25.41% 13.39% 19.16% 19.95% 19.10% 26.80% 29.45% 31.58% 20.88% 12.00%
Avg Days To Max Decline   20 18 16 17 14 20 20 18 17 12 7
Avg Max Increase   -3.73% -1.65% -2.27% -3.11% -3.03% -1.95% -3.83% -2.92% -2.96% -2.52% -0.39%
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 7 10 10 8 10 11 9 6 2
2011 Contract Condition   Yes   Yes Yes       Yes   Yes  
Action   Yes   No No       Yes      
High 3230 3222 2928 3001 2982 3165 3374 3641 3710 3348 3339  
Low 2998 2750 2662 2771 2772 2785 2862 3196 2948 2940 3243  
Close/Last 3165 2804 2876 2867 2847 3064 3341 3634 2966 3340 3291  

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