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