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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, 2013
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 18 23 27 24 24 16 20
Exceeded High   14 15 17 13 16 20 20 15 16 12 11
Scenario Percentage   88% 71% 81% 72% 89% 87% 74% 63% 67% 75% 55%
Avg Max Increase   10.63% 13.74% 14.08% 15.36% 15.64% 12.12% 14.26% 11.93% 11.93% 9.77% 8.66%
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 17 16 15 13 14 10
Avg Max Decline   -2.32% -2.65% -3.71% -3.62% -4.55% -3.38% -4.25% -3.08% -3.29% -2.68% -1.27%
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 13 9 9 7 7 6 3
2012 Contract Condition   Yes         Yes Yes Yes     Yes
Action   No         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 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 27 22 18 19 21 29 25
Penetrated Low   24 21 21 23 23 13 15 14 20 21 14
Scenario Percentage   86% 88% 88% 85% 85% 59% 83% 74% 95% 72% 56%
Avg Max Decline   8.10% 9.16% 11.68% 9.91% 7.08% 8.18% 8.97% 8.53% 9.29% 6.44% 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 16 17 17 18 17 19 13 9
Avg Max Increase   -1.97% -3.13% -3.20% -2.32% -2.68% -3.66% -2.90% -5.18% -2.79% -3.08% -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 11 9 8 7 12 13 12 7 3
2012 Contract Condition     Yes Yes Yes Yes       Yes Yes  
Action     Yes Yes Yes Yes       Yes Yes  
High 2342 2555 2488 2458 2348 2384 2321 2397 2647 2707 2526 2574
Low 2064 2094 2214 2228 2089 2076 2050 2178 2364 2439 2338 2317
Close/Last 2181 2387 2370 2276 2243 2104 2304 2388 2610 2516 2388 2538

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