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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Orange Juice(ICE) 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   37 44 44 44 44 45 45 45 45 45 45
Closed Higher   17 28 16 26 23 25 23 26 15 22 20
Exceeded High   13 19 15 19 17 18 19 19 10 10 13
Scenario Percentage   76% 68% 94% 73% 74% 72% 83% 73% 67% 45% 65%
Avg Max Increase   12.65% 7.19% 7.33% 7.87% 13.01% 16.67% 12.49% 16.76% 15.30% 10.71% 7.11%
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 15 16 18 15 17 15 13 13 8
Avg Max Decline   -0.23% -3.18% -1.58% -1.94% -3.36% -1.47% -2.13% -2.95% -1.30% -3.35% -0.59%
Max Decline   -2.42% -19.33% -8.24% -9.12% -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 10 14 7 7 3
2012 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   37 44 44 44 44 45 45 45 45 45 45
Closed Lower   20 16 28 18 21 20 22 19 30 23 25
Penetrated Low   13 12 19 11 16 14 17 15 27 15 11
Scenario Percentage   65% 75% 68% 61% 76% 70% 77% 79% 90% 65% 44%
Avg Max Decline   7.63% 9.29% 7.51% 9.01% 8.93% 9.13% 10.51% 13.87% 10.49% 8.29% 2.38%
Max Decline   20.54% 19.44% 13.02% 20.45% 24.51% 18.78% 22.68% 23.98% 28.00% 20.58% 6.09%
Avg Days To Max Decline   21 20 15 14 15 17 25 17 18 8 6
Avg Max Increase   -3.63% -2.07% -2.38% -2.48% -2.67% -1.36% -4.34% -3.90% -4.04% -2.48% -1.75%
Max Increase   -9.11% -15.27% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -5.74% -3.42%
Avg Days to Max Increase   15 8 12 11 11 4 20 8 11 4 2
2012 Contract Condition           Yes Yes     Yes   Yes
Action           Yes No     No   Not Yet
High 161.20 162.05 167.35 177.15 177.75 179.60 165.05 175.00 175.30 174.10 226.95 212.30
Low 152.95 154.30 159.50 165.75 171.75 153.70 147.50 147.50 163.20 160.00 168.10 180.80
Close/Last 154.70 161.20 166.20 173.60 177.10 159.55 148.70 164.45 172.35 169.00 210.00 190.55

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