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