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