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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 19 20 25 26 26 31 23 21 22 29 22
Exceeded High 16 17 23 24 24 21 16 18 20 19 15
Scenario Percentage 84% 85% 92% 92% 92% 68% 70% 86% 91% 66% 68%
Avg Max Increase 7.64% 10.62% 13.09% 13.15% 13.04% 12.12% 10.68% 12.12% 10.39% 9.57% 7.14%
Max Increase 21.17% 40.41% 43.40% 38.84% 43.92% 62.57% 25.75% 35.70% 30.55% 24.78% 17.05%
Avg Days To Max Increase 18 18 19 17 13 14 13 20 19 18 18
Avg Max Decline -2.62% -2.21% -1.43% -2.72% -2.41% -2.36% -2.56% -2.62% -2.36% -2.65% -1.81%
Max Decline -13.50% -9.39% -7.91% -9.20% -10.00% -7.15% -15.57% -11.24% -8.78% -7.11% -5.83%
Avg Days to Max Decline 11 9 8 9 8 5 7 8 8 9 5
2009 Contract Condition       Yes Yes Yes Yes Yes Yes Yes Yes
Action       Yes Yes Yes Yes Yes Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 26 25 20 18 19 14 21 24 23 15 23
Penetrated Low 18 19 14 10 12 12 15 19 15 13 19
Scenario Percentage 69% 76% 70% 56% 63% 86% 71% 79% 65% 87% 83%
Avg Max Decline 8.75% 8.86% 6.16% 6.60% 8.88% 5.90% 8.01% 9.11% 8.02% 11.50% 22.19%
Max Decline 30.54% 22.91% 17.27% 12.18% 31.92% 15.35% 15.29% 25.51% 24.31% 33.03% 67.73%
Avg Days To Max Decline 16 17 16 9 16 21 16 14 20 15 17
Avg Max Increase -1.41% -1.72% -0.88% -1.58% -1.92% -4.73% -1.63% -2.27% -3.26% -1.27% -3.45%
Max Increase -6.68% -7.74% -4.38% -5.92% -6.10% -15.55% -6.40% -10.04% -13.83% -8.25% -15.02%
Avg Days to Max Increase 3 9 10 8 6 17 9 8 16 9 -27
2009 Contract Condition Yes Yes Yes                
Action Yes Yes No                
High 291.30 198.95 166.20 163.25 165.85 188.90 224.15 220.95 246.30 263.20 296.60
Low 169.00 160.00 129.55 142.70 144.00 153.40 182.00 197.90 212.35 214.20 262.45
Close/Last 186.50 168.05 143.20 150.15 155.75 186.35 204.40 220.35 227.20 262.35 280.80

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