MRCI's ScenarioSM Study

ScenarioSM Study for July Orange Juice(ICE) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		37	43	43	43	43	43	43	43	43	43	43
Closed Higher		20	24	23	25	16	17	18	24	18	27	18
Exceeded High		17	19	19	17	11	7	16	18	13	16	11
Scenario Percentage		85%	79%	83%	68%	69%	41%	89%	75%	72%	59%	61%
Avg Max Increase		11.52%	14.87%	11.95%	16.37%	14.51%	13.28%	9.70%	12.02%	12.75%	6.99%	4.97%
Max Increase		41.65%	43.02%	44.17%	62.51%	28.36%	18.19%	31.32%	30.56%	34.97%	15.09%	9.31%
Avg Days To Max Increase		19	16	17	15	11	21	15	18	19	12	8
Avg Max Decline		-3.31%	-0.89%	-1.29%	-1.92%	-2.70%	-2.47%	-1.56%	-3.16%	-2.00%	-3.42%	-0.71%
Max Decline		-17.24%	-8.20%	-6.67%	-10.84%	-11.07%	-8.26%	-9.63%	-12.66%	-11.46%	-9.76%	-1.69%
Avg Days to Max Decline		13	4	11	11	5	6	9	12	7	10	2
2010 Contract Condition				Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action				Yes	Yes	Yes	No	Yes			Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		37	43	43	43	43	43	43	43	43	43	43
Closed Lower		17	18	20	18	27	26	25	19	25	16	25
Penetrated Low		14	12	16	14	25	17	19	16	18	11	10
Scenario Percentage		82%	67%	80%	78%	93%	65%	76%	84%	72%	69%	40%
Avg Max Decline		7.93%	7.98%	8.89%	12.33%	10.26%	9.62%	8.26%	9.14%	8.82%	10.40%	4.24%
Max Decline		23.73%	18.33%	19.61%	21.05%	24.38%	23.13%	17.45%	21.93%	25.18%	21.50%	7.62%
Avg Days To Max Decline		15	16	25	19	20	14	19	18	19	14	7
Avg Max Increase		-1.82%	-0.75%	-4.03%	-2.69%	-3.27%	-1.94%	-3.60%	-2.50%	-4.48%	-1.94%	-2.33%
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		10	4	21	10	11	4	9	12	12	4	3
2010 Contract Condition		Yes	Yes						Yes	Yes
Action		Yes	No						Yes	No
High	118.80	123.80	116.60	130.25	130.60	147.00	157.45	149.00	155.50	139.35	147.40	148.50
Low	94.75	105.45	102.40	105.85	121.00	130.00	136.55	140.00	136.90	128.40	135.00	133.50
Close/Last	106.75	105.80	105.05	125.25	129.20	135.75	142.45	146.20	137.95	137.75	142.90	148.25