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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Cocoa(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   15 22 26 14 20 19 17 18 23 24 26
Exceeded High   14 17 19 13 15 15 12 16 19 19 15
Scenario Percentage   93% 77% 73% 93% 75% 79% 71% 89% 83% 79% 58%
Avg Max Increase   8.81% 11.73% 13.69% 10.83% 15.72% 14.56% 17.21% 13.87% 11.83% 10.73% 7.83%
Max Increase   19.24% 45.79% 52.55% 25.76% 58.68% 46.19% 47.16% 58.40% 32.22% 23.07% 25.09%
Avg Days To Max Increase   15 15 14 13 20 17 20 16 17 11 10
Avg Max Decline   -1.63% -1.85% -1.74% -1.49% -2.82% -3.65% -3.88% -4.59% -3.66% -4.56% -0.84%
Max Decline   -6.65% -8.84% -8.99% -4.86% -10.54% -7.25% -13.32% -11.82% -13.99% -15.06% -4.36%
Avg Days to Max Decline   7 5 6 6 8 7 8 12 8 8 3
2008 Contract Condition     Yes Yes Yes Yes   Yes   Yes   Yes
Action     Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   30 23 19 29 25 24 27 26 22 20 19
Penetrated Low   24 18 15 23 21 20 22 21 14 16 11
Scenario Percentage   80% 78% 79% 79% 84% 83% 81% 81% 64% 80% 58%
Avg Max Decline   6.66% 6.53% 9.08% 9.54% 10.72% 12.79% 10.66% 8.75% 9.42% 7.62% 5.57%
Max Decline   13.02% 19.52% 23.79% 29.18% 25.83% 28.30% 29.04% 27.52% 22.78% 20.98% 10.68%
Avg Days To Max Decline   16 18 17 19 22 19 18 17 15 13 5
Avg Max Increase   -1.96% -2.01% -2.83% -1.60% -3.78% -2.75% -2.39% -3.07% -3.61% -3.01% -0.46%
Max Increase   -11.80% -8.02% -10.62% -8.98% -23.33% -10.67% -8.82% -15.48% -13.43% -8.46% -3.09%
Avg Days to Max Increase   8 10 12 9 9 8 9 9 6 6 2
2008 Contract Condition   Yes         Yes   Yes   Yes  
Action   No         No   No   Yes  
High 1988 2007 2020 2150 2371 2825 2978 2785 2775 3207 3290 3013
Low 1840 1859 1937 1988 2069 2339 2263 2274 2530 2737 2734 2540
Close/Last 1988 1981 2003 2046 2368 2791 2354 2739 2737 3181 2858 2864

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