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