|
 |
| 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 |
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
