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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Orange Juice(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 31 37 39 40 40 40 40 40 40 40 40
Closed Higher 17 21 14 16 15 22 17 24 13 24 21
Exceeded High 14 16 9 8 12 17 13 15 10 17 10
Scenario Percentage 82% 76% 64% 50% 80% 77% 76% 62% 77% 71% 48%
Avg Max Increase 8.32% 12.16% 14.53% 10.39% 9.82% 10.85% 12.27% 10.20% 11.24% 7.43% 5.74%
Max Increase 25.83% 38.26% 28.46% 17.51% 28.55% 29.71% 34.95% 21.46% 21.34% 28.23% 15.65%
Avg Days To Max Increase 15 15 15 17 17 18 17 19 16 11 7
Avg Max Decline -1.01% -1.54% -3.71% -2.28% -2.23% -2.92% -1.56% -2.99% -2.80% -2.17% 0.02%
Max Decline -5.19% -9.99% -10.43% -7.24% -9.57% -11.59% -11.94% -9.35% -7.99% -10.16% -0.82%
Avg Days to Max Decline 11 11 5 6 8 15 5 12 10 6 1
2007 Contract Condition Yes Yes     Yes         Yes  
Action Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 31 37 39 40 40 40 40 40 40 40 40
Closed Lower 14 15 24 23 25 18 22 16 27 16 18
Penetrated Low 11 11 23 15 19 16 17 13 18 10 9
Scenario Percentage 79% 73% 96% 65% 76% 89% 77% 81% 67% 62% 50%
Avg Max Decline 7.10% 11.77% 10.05% 8.17% 7.32% 8.18% 9.34% 10.69% 8.15% 8.14% 14.13%
Max Decline 17.23% 19.76% 24.45% 23.27% 16.88% 20.35% 24.10% 21.93% 12.67% 14.09% 41.26%
Avg Days To Max Decline 23 19 19 11 20 17 20 21 16 13 8
Avg Max Increase -2.11% -2.86% -2.65% -2.02% -3.52% -1.97% -4.22% -1.65% -3.60% -3.20% -2.05%
Max Increase -5.12% -13.40% -12.01% -4.73% -11.67% -9.46% -12.38% -7.29% -10.04% -11.22% -7.38%
Avg Days to Max Increase 14 12 11 4 10 13 14 6 12 10 3
2007 Contract Condition     Yes Yes   Yes Yes Yes Yes   Yes
Action     Yes No   Yes Yes Yes Yes   Not Yet
High 195.50 201.00 203.30 197.50 190.20 192.50 187.30 168.75 156.20 142.80 142.50
Low 163.90 189.25 187.75 174.00 177.50 179.50 145.60 151.50 118.90 125.05 117.50
Close/Last 195.00 200.80 188.90 174.70 187.75 182.80 156.65 152.30 134.55 140.00 125.00

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