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