MRCI's ScenarioSM Study

ScenarioSM Study for March Orange Juice(ICE) 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	34	41	41	41	41	42	42	42	42	42	42
Closed Higher	15	25	14	23	23	24	21	24	13	19	18
Exceeded High	11	16	13	16	17	18	17	17	8	8	11
Scenario Percentage	73%	64%	93%	70%	74%	75%	81%	71%	62%	42%	61%
Avg Max Increase	12.98%	7.30%	8.04%	7.40%	13.01%	16.67%	12.43%	15.52%	15.35%	10.41%	6.76%
Max Increase	30.21%	18.72%	20.22%	19.13%	43.56%	45.04%	44.58%	62.09%	29.02%	20.09%	20.40%
Avg Days To Max Increase	16	15	17	17	18	15	16	15	13	12	7
Avg Max Decline	-0.23%	-2.32%	-1.75%	-1.63%	-3.36%	-1.47%	-2.01%	-2.87%	-1.82%	-2.85%	-0.63%
Max Decline	-2.42%	-8.55%	-8.24%	-7.72%	-17.82%	-7.14%	-10.21%	-11.88%	-9.60%	-9.84%	-3.61%
Avg Days to Max Decline	5	8	8	10	17	3	11	15	3	5	2
2009 Contract Condition	Yes		Yes		Yes					Yes
Action	No		Yes		No					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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	34	41	41	41	41	42	42	42	42	42	42
Closed Lower	19	16	27	18	18	18	21	18	29	23	24
Penetrated Low	13	12	19	11	13	14	17	14	27	15	13
Scenario Percentage	68%	75%	70%	61%	72%	78%	81%	78%	93%	65%	54%
Avg Max Decline	7.63%	9.29%	7.51%	9.01%	9.57%	9.13%	10.51%	14.85%	10.49%	8.07%	12.35%
Max Decline	20.54%	19.44%	13.02%	20.45%	24.51%	18.78%	22.68%	23.98%	28.00%	20.58%	37.15%
Avg Days To Max Decline	21	20	15	14	17	17	25	19	18	8	12
Avg Max Increase	-3.63%	-2.07%	-2.38%	-2.48%	-2.89%	-1.36%	-4.34%	-3.87%	-4.04%	-2.48%	-1.93%
Max Increase	-9.11%	-15.27%	-6.18%	-6.44%	-8.41%	-5.01%	-15.28%	-17.08%	-23.52%	-5.74%	-3.39%
Avg Days to Max Increase	15	8	12	11	13	4	20	9	11	4	3
2009 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes		Yes
Action		Yes		Yes		Yes	Yes	Yes	Yes		Not Yet
High	136.40	134.55	133.00	140.80	125.20	121.95	96.85	91.00	81.90	78.95	76.20
Low	125.80	118.50	119.75	117.45	107.90	93.75	82.00	78.50	67.10	68.10	64.60
Close/Last	132.20	122.15	132.00	117.85	119.55	96.65	84.45	78.80	67.90	72.50	69.55