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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, 2013
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 22 25 26 27 30 22 20 23 29 22
Exceeded High   15 19 24 25 23 20 16 17 22 19 15
Scenario Percentage   79% 86% 96% 96% 85% 67% 73% 85% 96% 66% 68%
Avg Max Increase   9.65% 10.94% 11.74% 11.78% 11.53% 11.48% 10.68% 12.60% 9.80% 8.68% 7.28%
Max Increase   21.17% 40.41% 43.40% 38.84% 43.92% 62.57% 25.75% 35.70% 30.55% 24.78% 15.61%
Avg Days To Max Increase   20 18 18 17 13 14 13 22 17 16 17
Avg Max Decline   -1.89% -1.93% -1.43% -2.64% -2.28% -2.49% -2.56% -2.88% -2.24% -2.77% -1.75%
Max Decline   -5.37% -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   12 8 8 9 8 6 7 10 7 9 5
2012 Contract Condition   Yes     Yes Yes       Yes   Yes
Action   No     Yes No       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 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 23 20 18 18 15 22 25 22 15 23
Penetrated Low   18 17 13 11 11 13 18 20 14 13 14
Scenario Percentage   69% 74% 65% 61% 61% 87% 82% 80% 64% 87% 61%
Avg Max Decline   8.75% 9.31% 6.43% 6.66% 8.40% 6.69% 8.98% 9.17% 8.34% 9.63% 7.90%
Max Decline   30.54% 22.91% 17.27% 12.18% 31.92% 15.35% 18.69% 25.51% 24.31% 33.03% 22.35%
Avg Days To Max Decline   16 18 16 9 15 21 15 14 21 13 17
Avg Max Increase   -1.41% -1.71% -0.76% -1.66% -1.92% -5.03% -1.51% -1.88% -3.47% -1.49% -1.03%
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 10 11 8 6 17 7 7 17 9 4
2012 Contract Condition     Yes Yes     Yes Yes Yes   Yes  
Action     No No     Yes Yes Yes   Yes  
High 418.75 374.05 366.15 363.90 392.75 400.45 395.20 396.25 385.15 351.50 355.65 351.20
Low 315.00 309.15 327.00 328.00 341.50 373.80 374.20 359.00 335.00 324.95 333.20 328.85
Close/Last 320.15 366.90 359.60 346.00 381.85 389.85 384.25 382.55 337.35 349.65 341.75 345.40

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