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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Copper(CMX) 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 May 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% 13.32% 12.68% 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% -2.40% -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 May 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 17
Scenario Percentage   58% 82% 67% 86% 72% 77% 65% 53% 65% 79% 65%
Avg Max Decline   5.96% 10.59% 13.31% 9.36% 9.19% 9.94% 7.42% 8.03% 8.81% 7.99% 5.62%
Max Decline   16.44% 25.66% 50.39% 46.68% 31.11% 23.48% 16.91% 12.64% 32.96% 29.02% 13.11%
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% -2.68% -4.08% -1.39%
Max Increase   -7.97% -7.59% -8.76% -4.73% -8.81% -9.98% -5.61% -6.04% -8.44% -8.96% -5.53%
Avg Days to Max Increase   12 13 8 7 3 9 10 7 9 15 4
2011 Contract Condition   Yes                 Yes Yes
Action   No                 Yes Yes
High 333.55 315.50 334.35 344.00 366.90 388.90 407.75 444.35 449.00 465.75 455.40 453.30
Low 298.45 280.00 292.10 322.50 342.05 366.50 365.00 380.60 421.85 424.35 407.60 414.95
Close/Last 315.90 299.70 334.35 337.90 366.05 374.55 382.05 443.95 446.55 449.65 430.75 416.55

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