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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, 2013
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   16 21 26 16 21 21 17 17 23 26 25
Exceeded High   15 16 19 14 15 17 12 15 19 20 14
Scenario Percentage   94% 76% 73% 88% 71% 81% 71% 88% 83% 77% 56%
Avg Max Increase   8.60% 12.14% 14.42% 10.74% 15.23% 13.69% 17.21% 15.15% 12.16% 11.13% 6.37%
Max Increase   19.24% 45.79% 52.55% 25.76% 58.68% 46.19% 47.16% 58.40% 32.22% 23.07% 14.16%
Avg Days To Max Increase   15 15 15 12 19 16 20 18 18 11 8
Avg Max Decline   -1.92% -2.07% -2.36% -1.81% -2.46% -3.59% -3.88% -5.15% -4.02% -4.59% -0.82%
Max Decline   -6.65% -8.84% -11.17% -4.86% -7.49% -7.25% -13.32% -11.82% -13.99% -15.06% -3.08%
Avg Days to Max Decline   7 5 7 6 8 7 8 14 9 9 2
2012 Contract Condition   Yes     Yes         Yes Yes Yes
Action   No     No         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 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   29 24 19 27 24 22 27 27 22 19 20
Penetrated Low   22 17 14 22 20 19 23 22 13 16 11
Scenario Percentage   76% 71% 74% 81% 83% 86% 85% 81% 59% 84% 55%
Avg Max Decline   6.89% 6.42% 8.03% 8.99% 10.31% 12.48% 10.64% 7.44% 9.06% 7.83% 5.52%
Max Decline   13.02% 19.52% 18.67% 18.03% 25.83% 28.30% 29.04% 19.52% 22.78% 20.98% 10.68%
Avg Days To Max Decline   16 17 17 19 20 20 17 15 16 13 6
Avg Max Increase   -2.17% -1.97% -3.02% -1.82% -3.55% -3.37% -2.77% -2.94% -4.51% -2.99% -0.49%
Max Increase   -11.80% -8.02% -10.62% -8.98% -23.33% -12.45% -8.82% -15.48% -13.43% -8.46% -3.09%
Avg Days to Max Increase   8 9 12 9 9 12 9 9 7 6 2
2012 Contract Condition     Yes Yes   Yes Yes Yes Yes      
Action     Yes No   Yes Yes Yes Yes      
High 3155 2823 2793 2331 2533 2480 2455 2345 2372 2307 2387 2673
Low 2675 2620 2295 2038 2077 2191 2213 2072 2059 2031 2159 2352
Close/Last 2693 2760 2341 2162 2369 2367 2262 2237 2088 2291 2376 2656

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