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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 44 44 45 45 45 45 45 45 45 45
Closed Higher   15 26 22 25 24 27 15 22 19 24 16
Exceeded High   14 20 17 20 20 20 11 9 15 17 9
Scenario Percentage   93% 77% 77% 80% 83% 74% 73% 41% 79% 71% 56%
Avg Max Increase   6.73% 7.43% 12.46% 14.71% 11.82% 16.06% 13.17% 13.49% 10.30% 7.48% 5.95%
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   14 17 15 14 18 16 14 24 15 9 6
Avg Max Decline   -1.47% -1.67% -3.23% -0.81% -1.54% -2.59% -2.31% -4.02% -1.75% -2.80% -0.46%
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 13 7 11 6 8 1
2012 Contract Condition   Yes Yes     Yes Yes   Yes      
Action   Yes Yes     Yes Yes   No      
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   39 44 44 45 45 45 45 45 45 45 45
Closed Lower   24 18 21 20 21 18 30 23 26 21 29
Penetrated Low   16 11 16 13 16 15 27 15 19 14 7
Scenario Percentage   67% 61% 76% 65% 76% 83% 90% 65% 73% 67% 24%
Avg Max Decline   7.61% 8.49% 8.12% 8.70% 9.74% 12.14% 10.69% 10.43% 9.58% 8.99% 6.10%
Max Decline   13.35% 19.86% 23.81% 18.33% 21.27% 22.67% 25.94% 24.98% 25.09% 30.88% 19.28%
Avg Days To Max Decline   17 14 18 16 24 17 19 13 15 10 6
Avg Max Increase   -1.74% -1.92% -2.53% -1.03% -4.22% -3.22% -3.27% -2.21% -4.17% -1.06% -1.39%
Max Increase   -5.15% -6.17% -7.32% -5.20% -14.90% -15.84% -14.42% -4.44% -13.65% -4.28% -4.87%
Avg Days to Max Increase   12 12 9 4 20 9 10 4 9 7 2
2012 Contract Condition       Yes Yes     Yes   Yes Yes Yes
Action       Yes No     No   Yes Yes Yes
High 166.90 175.70 176.00 176.55 165.20 171.40 173.25 173.00 208.85 205.40 196.95 164.60
Low 159.20 165.70 171.45 154.30 147.50 147.75 161.50 160.00 168.50 174.40 161.75 137.80
Close/Last 165.75 172.85 174.60 159.50 149.10 162.70 171.10 168.20 203.40 185.75 164.50 140.85

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