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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Copper(CMX) as of Apr 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 Sep 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 21 26 26 26 31 22 21 22 29 22
Exceeded High   16 18 24 24 24 21 16 18 20 19 15
Scenario Percentage   84% 86% 92% 92% 92% 68% 73% 86% 91% 66% 68%
Avg Max Increase   8.35% 10.59% 12.73% 13.15% 11.77% 11.23% 10.68% 12.12% 10.39% 9.03% 7.01%
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   20 17 18 17 13 13 13 20 19 18 18
Avg Max Decline   -2.51% -2.20% -1.30% -2.72% -2.32% -2.32% -2.56% -2.62% -2.36% -2.84% -1.76%
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 7 9 9 5 7 8 8 10 5
2011 Contract Condition   Yes Yes Yes Yes Yes     Yes      
Action   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 Sep 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 24 19 18 19 14 22 24 23 15 23
Penetrated Low   18 18 13 11 12 12 16 19 14 13 13
Scenario Percentage   69% 75% 68% 61% 63% 86% 73% 79% 61% 87% 57%
Avg Max Decline   8.75% 9.04% 6.43% 6.66% 8.88% 5.90% 8.68% 9.45% 8.34% 11.50% 6.88%
Max Decline   30.54% 22.91% 17.27% 12.18% 31.92% 15.35% 18.69% 25.51% 24.31% 33.03% 17.06%
Avg Days To Max Decline   16 17 16 9 16 21 16 14 21 15 17
Avg Max Increase   -1.41% -1.51% -0.76% -1.66% -1.92% -4.73% -1.53% -1.96% -3.47% -1.27% -1.12%
Max Increase   -6.68% -7.74% -4.38% -5.92% -6.10% -15.55% -6.40% -10.04% -13.83% -8.25% -6.95%
Avg Days to Max Increase   3 9 11 8 6 17 8 8 17 9 4
2011 Contract Condition             Yes Yes        
Action             Not Yet Yes        
High 365.35 385.20 402.35 440.65 445.90 463.50 455.70 456.20 422.15      
Low 341.55 365.70 361.50 391.35 421.00 426.50 410.70 417.70 413.05      
Close/Last 364.75 372.75 380.20 440.65 445.90 451.15 433.95 419.50 421.30      

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