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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Copper(CMX) as of Jun 01, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 43 43 44 45 45 45 45 45 45 45 45
Closed Higher 19 32 22 23 19 23 25 26 25 31 19
Exceeded High 18 22 18 16 16 21 24 24 21 22 11
Scenario Percentage 95% 69% 82% 70% 84% 91% 96% 92% 84% 71% 58%
Avg Max Increase 9.03% 8.47% 9.01% 12.75% 10.49% 11.04% 10.49% 13.30% 12.66% 11.80% 8.02%
Max Increase 29.45% 35.14% 25.32% 34.02% 18.99% 37.37% 41.67% 42.84% 45.27% 68.90% 24.72%
Avg Days To Max Increase 19 19 16 20 19 17 18 18 14 14 11
Avg Max Decline -0.95% -2.32% -2.29% -2.40% -1.70% -3.44% -2.23% -3.47% -2.32% -3.05% -1.46%
Max Decline -4.42% -14.38% -10.07% -8.34% -5.67% -9.98% -8.55% -11.06% -10.75% -8.66% -5.67%
Avg Days to Max Decline 5 11 13 9 9 8 9 9 5 8 3
2011 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes    
Action   Yes Yes Yes Yes Yes Yes Yes No    
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 43 43 44 45 45 45 45 45 45 45 45
Closed Lower 24 11 21 22 25 22 20 19 20 14 26
Penetrated Low 14 9 14 19 18 17 13 10 13 11 20
Scenario Percentage 58% 82% 67% 86% 72% 77% 65% 53% 65% 79% 77%
Avg Max Decline 5.96% 10.59% 13.31% 9.36% 9.19% 9.94% 7.42% 8.03% 8.81% 7.99% 15.54%
Max Decline 16.44% 25.66% 50.39% 46.68% 31.11% 23.48% 16.91% 12.64% 32.96% 29.02% 51.25%
Avg Days To Max Decline 18 25 22 18 14 16 19 10 16 19 12
Avg Max Increase -1.64% -0.87% -1.56% -1.79% -1.79% -1.92% -1.45% -1.52% -2.67% -4.08% -2.36%
Max Increase -7.97% -7.59% -8.76% -4.73% -8.81% -9.98% -5.61% -6.04% -8.44% -8.96% -10.77%
Avg Days to Max Increase 12 13 8 7 3 9 10 7 9 15 7
2011 Contract Condition Yes                 Yes Yes
Action No                 Yes Yes
High 315.50 334.35 344.00 366.90 388.90 407.75 444.35 449.00 465.75 455.40 453.30
Low 280.00 292.10 322.50 342.05 366.50 365.00 380.60 421.85 424.35 407.60 414.95
Close/Last 299.70 334.35 337.90 366.05 374.55 382.05 443.95 446.55 449.65 430.75 416.55

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