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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec 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   16 21 21 18 19 22 27 24 24 17 19
Exceeded High   15 15 17 13 17 19 20 15 16 13 10
Scenario Percentage   94% 71% 81% 72% 89% 86% 74% 63% 67% 76% 53%
Avg Max Increase   10.31% 13.74% 14.08% 15.36% 14.86% 11.98% 14.00% 11.86% 11.93% 9.56% 9.37%
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   15 20 19 21 16 16 16 16 13 13 11
Avg Max Decline   -2.15% -2.65% -3.71% -3.62% -4.30% -3.27% -4.35% -2.94% -3.29% -2.48% -1.49%
Max Decline   -9.11% -6.90% -6.94% -13.61% -11.33% -13.39% -13.88% -7.99% -9.29% -10.27% -8.68%
Avg Days to Max Decline   7 8 8 9 12 8 9 7 7 5 3
2011 Contract Condition   Yes Yes   Yes   Yes   Yes   Yes  
Action   Yes Yes   No   Yes   No   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 Dec 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   28 24 24 27 26 23 18 19 21 28 26
Penetrated Low   24 21 21 22 22 14 15 14 20 20 14
Scenario Percentage   86% 88% 88% 81% 85% 61% 83% 74% 95% 71% 54%
Avg Max Decline   8.10% 9.16% 11.54% 9.97% 7.28% 8.04% 8.97% 8.53% 9.14% 6.62% 4.29%
Max Decline   16.73% 24.40% 27.24% 25.77% 17.36% 20.77% 25.69% 16.80% 27.01% 11.52% 12.21%
Avg Days To Max Decline   19 20 21 17 17 16 18 17 19 13 9
Avg Max Increase   -1.97% -3.13% -3.10% -2.14% -2.77% -3.42% -2.90% -5.18% -2.75% -3.06% -2.41%
Max Increase   -8.89% -22.72% -11.90% -6.72% -14.59% -8.79% -9.04% -14.93% -12.90% -9.98% -6.67%
Avg Days to Max Increase   8 9 10 9 8 7 12 13 11 7 3
2011 Contract Condition       Yes   Yes   Yes   Yes   Yes
Action       Yes   Yes   Yes   Yes   Yes
High 3200 3345 3516 3600 3361 3350 3183 3267 3150 3127 2767 2744
Low 2826 2907 3186 2990 2985 2907 2900 2994 2846 2587 2523 2162
Close/Last 3093 3320 3505 3010 3358 3040 3171 3008 3113 2608 2696 2162

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