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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 14 19 19 18 17 22 26 25 25 16 20
Exceeded High 12 13 14 13 15 18 19 18 17 12 11
Scenario Percentage 86% 68% 74% 72% 88% 82% 73% 72% 68% 75% 55%
Avg Max Increase 9.68% 14.96% 16.03% 14.23% 14.11% 12.83% 14.21% 12.16% 12.93% 9.99% 7.43%
Max Increase 23.84% 49.61% 45.37% 39.09% 50.35% 27.94% 39.24% 33.03% 28.13% 24.57% 24.48%
Avg Days To Max Increase 16 21 20 19 15 18 16 17 14 13 8
Avg Max Decline -2.07% -2.80% -3.58% -3.20% -4.41% -3.19% -4.17% -2.68% -3.41% -2.04% -0.98%
Max Decline -9.11% -9.94% -6.94% -13.61% -11.33% -13.39% -13.88% -7.99% -9.29% -10.27% -7.88%
Avg Days to Max Decline 8 9 8 9 12 9 9 7 8 5 3
2006 Contract Condition     Yes Yes   Yes       Yes  
Action     Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 31 26 26 27 28 23 19 18 20 29 25
Penetrated Low 26 22 22 22 24 15 14 15 18 21 20
Scenario Percentage 84% 85% 85% 81% 86% 65% 74% 83% 90% 72% 80%
Avg Max Decline 8.53% 9.36% 11.85% 10.21% 8.52% 8.47% 7.56% 8.83% 7.70% 6.64% 24.54%
Max Decline 27.85% 24.40% 27.24% 25.77% 27.24% 20.77% 25.69% 16.80% 16.36% 11.52% 70.80%
Avg Days To Max Decline 20 21 20 18 18 16 17 19 18 13 12
Avg Max Increase -1.72% -3.30% -2.70% -2.06% -2.64% -2.69% -2.55% -5.12% -2.66% -2.79% -6.65%
Max Increase -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.04% -14.93% -12.90% -9.98% -23.71%
Avg Days to Max Increase 7 9 8 10 9 6 11 16 11 6 -29
2006 Contract Condition Yes Yes     Yes   Yes Yes Yes   Yes
Action Yes Yes     Yes   Yes Yes Yes   Not Yet
High 1690 1627 1589 1598 1628 1680 1767 1615 1535 1498 1540
Low 1545 1500 1509 1493 1521 1523 1513 1458 1415 1396 1400
Close/Last 1581 1532 1570 1573 1542 1672 1528 1485 1472 1484 1483

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