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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 36 42 42 42 42 42 42 42 42 42 42
Closed Higher 20 24 22 24 15 16 17 24 18 26 17
Exceeded High 17 19 18 16 10 7 15 18 13 15 11
Scenario Percentage 85% 79% 82% 67% 67% 44% 88% 75% 72% 58% 65%
Avg Max Increase 11.52% 14.87% 11.64% 16.03% 14.36% 13.28% 9.92% 12.02% 12.75% 7.23% 5.15%
Max Increase 41.65% 43.02% 44.17% 62.51% 28.36% 18.19% 31.32% 30.56% 34.97% 16.17% 9.31%
Avg Days To Max Increase 19 16 17 16 11 21 16 18 19 11 9
Avg Max Decline -3.31% -0.89% -1.18% -2.08% -3.23% -2.47% -1.73% -3.16% -2.00% -3.21% -1.06%
Max Decline -17.24% -8.20% -6.67% -10.84% -11.07% -8.26% -9.63% -12.66% -11.46% -9.76% -5.35%
Avg Days to Max Decline 13 4 11 11 5 6 9 12 7 10 2
2009 Contract Condition Yes         Yes   Yes Yes Yes  
Action No         No   Yes Yes Not Yet  
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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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 36 42 42 42 42 42 42 42 42 42 42
Closed Lower 16 17 20 18 27 26 25 18 24 16 25
Penetrated Low 13 12 16 14 25 17 19 15 18 11 15
Scenario Percentage 81% 71% 80% 78% 93% 65% 76% 83% 75% 69% 60%
Avg Max Decline 8.29% 7.98% 8.89% 12.33% 10.26% 9.62% 8.26% 9.29% 8.82% 10.49% 13.63%
Max Decline 23.73% 18.33% 19.61% 21.05% 24.38% 23.13% 17.45% 21.93% 25.18% 21.50% 33.84%
Avg Days To Max Decline 15 16 25 19 20 14 19 19 19 14 9
Avg Max Increase -1.96% -0.75% -4.03% -2.69% -3.27% -1.94% -3.60% -2.62% -4.48% -1.94% -2.36%
Max Increase -7.36% -3.70% -17.43% -14.46% -12.91% -4.36% -10.86% -11.56% -14.22% -7.73% -10.59%
Avg Days to Max Increase 11 4 21 10 11 4 9 13 12 4 -43
2009 Contract Condition   Yes Yes Yes Yes   Yes       Yes
Action   Yes Yes Yes Yes   No       Not Yet
High 126.70 126.55 101.55 98.20 89.00 85.55 83.05 79.70 89.90 97.55 95.75
Low 115.05 100.50 91.10 86.75 75.85 78.65 68.75 70.15 76.00 83.40 73.10
Close/Last 126.25 103.60 92.40 86.75 75.85 80.20 72.30 78.90 83.25 94.15 77.50

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