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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, 2013
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 22 16 19 25 16 21 22 18 18 23
Exceeded High   14 16 14 13 21 14 15 17 13 15 19
Scenario Percentage   67% 73% 88% 68% 84% 88% 71% 77% 72% 83% 83%
Avg Max Increase   10.43% 9.84% 9.44% 11.05% 13.82% 10.95% 16.34% 14.05% 16.04% 13.04% 7.16%
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 12 15 15 20 16 20 12 8
Avg Max Decline   -2.11% -3.06% -1.78% -2.85% -2.57% -2.59% -3.04% -3.76% -4.31% -4.66% -0.77%
Max Decline   -6.42% -8.37% -7.34% -9.28% -11.07% -5.18% -7.54% -7.72% -12.50% -11.26% -4.84%
Avg Days to Max Decline   6 7 8 5 7 7 11 7 14 9 2
2012 Contract Condition   Yes   Yes     Yes Yes       Yes
Action   No   No     No No       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   23 23 29 25 20 29 24 23 27 27 22
Penetrated Low   18 20 22 17 15 22 20 21 23 22 7
Scenario Percentage   78% 87% 76% 68% 75% 76% 83% 91% 85% 81% 32%
Avg Max Decline   9.62% 9.22% 7.23% 6.65% 8.92% 9.76% 10.90% 12.81% 11.00% 7.56% 5.16%
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   19 19 17 17 14 20 21 19 16 11 8
Avg Max Increase   -3.45% -1.81% -2.36% -2.94% -3.03% -1.95% -3.93% -3.55% -3.12% -2.31% -0.45%
Max Increase   -11.50% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -12.88% -12.36% -10.76% -3.85%
Avg Days to Max Increase   14 11 7 9 10 8 10 13 9 6 1
2012 Contract Condition     Yes   Yes Yes     Yes Yes Yes  
Action     Yes   Yes No     Yes Yes Yes  
High 3297 3188 3150 2810 2786 2337 2519 2478 2443 2333 2363 2291
Low 3052 2930 2666 2595 2288 2027 2048 2168 2196 2056 2047 2026
Close/Last 3068 3151 2679 2748 2331 2148 2350 2354 2246 2219 2083 2289

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