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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Orange Juice(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 34 39 39 40 40 40 40 40 40 40 40
Closed Higher 12 22 21 23 21 25 12 18 17 23 13
Exceeded High 11 17 17 19 18 18 9 8 14 16 7
Scenario Percentage 92% 77% 81% 83% 86% 72% 75% 44% 82% 70% 54%
Avg Max Increase 7.59% 7.02% 12.46% 14.48% 11.73% 15.38% 13.13% 14.14% 10.57% 6.89% 5.51%
Max Increase 18.06% 18.40% 42.70% 43.51% 44.49% 62.21% 29.47% 21.39% 28.32% 16.91% 16.03%
Avg Days To Max Increase 18 18 15 14 17 16 14 24 15 9 6
Avg Max Decline -1.99% -1.46% -3.23% -0.81% -1.47% -2.52% -2.82% -4.04% -1.88% -2.73% -0.95%
Max Decline -8.84% -7.37% -17.46% -6.46% -8.42% -11.34% -10.80% -10.03% -8.38% -12.78% -1.91%
Avg Days to Max Decline 10 10 16 3 11 14 4 11 6 9 2
2007 Contract Condition Yes Yes Yes   Yes Yes     Yes    
Action Yes Yes Yes   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 34 39 39 40 40 40 40 40 40 40 40
Closed Lower 22 17 17 17 19 15 28 22 23 17 27
Penetrated Low 15 10 13 12 15 12 26 14 17 12 16
Scenario Percentage 68% 59% 76% 71% 79% 80% 93% 64% 74% 71% 59%
Avg Max Decline 7.22% 7.35% 8.65% 8.00% 9.16% 13.64% 10.73% 9.39% 8.14% 7.35% 18.76%
Max Decline 11.93% 17.56% 23.81% 18.33% 21.27% 22.67% 25.94% 23.06% 18.11% 20.34% 53.46%
Avg Days To Max Decline 17 13 19 15 24 17 19 12 13 11 9
Avg Max Increase -1.60% -1.76% -2.79% -1.31% -4.03% -2.67% -2.86% -2.36% -3.96% -1.15% -2.83%
Max Increase -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -4.44% -13.65% -4.28% -13.92%
Avg Days to Max Increase 11 11 11 4 21 8 10 4 10 8 5
2007 Contract Condition       Yes     Yes Yes   Yes Yes
Action       Yes     Yes No   Yes Yes
High 167.00 169.35 186.50 179.95 197.75 204.25 204.30 204.90 204.10 206.50 193.60
Low 149.45 152.65 169.00 170.00 163.90 193.00 192.70 181.50 183.00 185.00 150.75
Close/Last 165.25 169.15 180.00 172.45 197.00 202.00 193.60 183.75 200.50 189.25 166.00

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