MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	36	41	41	42	42	42	42	42	42	42	42
Closed Higher	13	23	22	24	22	25	13	19	17	24	15
Exceeded High	12	17	17	20	18	18	9	8	14	17	8
Scenario Percentage	92%	74%	77%	83%	82%	72%	69%	42%	82%	71%	53%
Avg Max Increase	7.51%	7.02%	12.46%	14.71%	11.73%	15.38%	13.13%	14.14%	10.57%	7.48%	6.36%
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	16	18	15	14	17	16	14	24	15	9	7
Avg Max Decline	-1.67%	-1.46%	-3.23%	-0.81%	-1.47%	-2.52%	-2.82%	-4.04%	-1.88%	-2.80%	-0.58%
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	9	10	16	3	11	14	4	11	6	8	1
2009 Contract Condition	Yes		Yes					Yes		Yes	Yes
Action	Yes		No					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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	36	41	41	42	42	42	42	42	42	42	42
Closed Lower	23	18	18	18	20	17	29	23	25	18	27
Penetrated Low	16	11	14	13	16	14	27	15	18	12	16
Scenario Percentage	70%	61%	78%	72%	80%	82%	93%	65%	72%	67%	59%
Avg Max Decline	7.61%	8.49%	8.36%	8.70%	9.74%	13.00%	10.69%	10.43%	8.72%	7.35%	18.76%
Max Decline	13.35%	19.86%	23.81%	18.33%	21.27%	22.67%	25.94%	24.98%	18.57%	20.34%	53.46%
Avg Days To Max Decline	17	14	18	16	24	19	19	13	14	11	9
Avg Max Increase	-1.74%	-1.92%	-2.59%	-1.03%	-4.22%	-3.23%	-3.27%	-2.21%	-4.01%	-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	12	12	10	4	20	9	10	4	9	8	5
2009 Contract Condition		Yes		Yes	Yes	Yes	Yes		Yes
Action		Yes		Yes	Yes	Yes	Yes		No
High	134.00	142.80	125.60	125.25	97.80	94.35	83.95	82.00	79.50	77.95	87.60
Low	123.10	121.00	112.55	97.25	86.00	83.00	71.95	72.95	65.00	67.30	73.35
Close/Last	134.00	121.35	123.25	100.05	88.20	83.00	71.95	76.35	69.65	76.30	79.40