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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Copper(CMX) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 44 45 45 45 45 45 45 45 45 45 45
Closed Higher 21 23 18 20 25 26 26 33 23 21 23
Exceeded High 18 16 15 17 24 24 25 22 16 19 18
Scenario Percentage 86% 70% 83% 85% 96% 92% 96% 67% 70% 90% 78%
Avg Max Increase 9.00% 12.39% 8.23% 10.63% 12.96% 13.93% 13.48% 12.71% 11.02% 10.10% 7.96%
Max Increase 25.67% 28.89% 19.96% 39.30% 44.19% 41.30% 46.81% 64.86% 25.45% 22.91% 23.93%
Avg Days To Max Increase 16 18 18 18 18 19 14 15 14 17 17
Avg Max Decline -1.56% -1.85% -2.75% -2.77% -1.79% -3.25% -2.51% -2.70% -2.85% -2.97% -1.54%
Max Decline -8.85% -7.34% -13.92% -9.72% -8.27% -10.04% -10.51% -7.75% -16.01% -12.21% -5.47%
Avg Days to Max Decline 10 9 10 9 8 9 9 7 6 8 3
2009 Contract Condition           Yes Yes Yes Yes Yes Yes
Action           Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 44 45 45 45 45 45 45 45 45 45 45
Closed Lower 23 22 27 25 20 19 19 12 22 24 22
Penetrated Low 14 18 19 19 15 10 12 10 16 17 15
Scenario Percentage 61% 82% 70% 76% 75% 53% 63% 83% 73% 71% 68%
Avg Max Decline 13.11% 9.44% 8.81% 9.26% 6.09% 7.07% 9.14% 5.80% 8.28% 10.08% 18.23%
Max Decline 49.51% 45.42% 29.97% 22.26% 16.97% 12.34% 32.42% 19.20% 16.99% 26.78% 68.01%
Avg Days To Max Decline 21 18 15 16 16 9 15 20 16 14 14
Avg Max Increase -1.53% -1.73% -1.64% -1.92% -1.09% -1.59% -2.09% -4.70% -2.61% -2.05% -3.98%
Max Increase -7.90% -4.58% -6.74% -8.61% -4.01% -5.83% -6.44% -15.97% -11.15% -9.43% -14.46%
Avg Days to Max Increase 11 7 3 9 10 7 7 17 11 8 11
2009 Contract Condition Yes Yes Yes Yes Yes            
Action Yes Yes Yes Yes No            
High 349.25 330.25 288.75 198.00 165.45 164.70 166.70 190.00 224.15 221.70 245.75
Low 318.85 284.10 169.00 157.75 129.90 142.00 142.90 152.40 180.75 196.70 211.15
Close/Last 334.70 289.05 185.50 167.10 142.70 149.40 154.90 185.40 204.75 219.75 225.80

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