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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   32 38 40 41 41 41 41 41 41 41 41
Closed Higher   18 21 15 16 15 22 18 24 14 24 22
Exceeded High   14 16 10 8 12 17 13 15 11 17 10
Scenario Percentage   78% 76% 67% 50% 80% 77% 72% 63% 79% 71% 45%
Avg Max Increase   8.32% 12.16% 13.55% 10.39% 9.82% 10.85% 12.27% 10.20% 11.23% 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 14 17 17 18 17 19 15 11 7
Avg Max Decline   -1.01% -1.54% -3.20% -2.28% -2.23% -2.92% -1.56% -2.99% -2.50% -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 9 6 1
2008 Contract Condition   Yes   Yes       Yes   Yes   Yes
Action   No   Yes       No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   32 38 40 41 41 41 41 41 41 41 41
Closed Lower   14 16 24 24 26 19 22 17 27 17 18
Penetrated Low   11 11 23 16 20 17 17 14 18 11 5
Scenario Percentage   79% 69% 96% 67% 77% 89% 77% 82% 67% 65% 28%
Avg Max Decline   7.10% 11.77% 10.05% 9.03% 7.75% 8.12% 9.34% 10.33% 8.15% 8.81% 6.09%
Max Decline   17.23% 19.76% 24.45% 23.27% 16.88% 20.35% 24.10% 21.93% 12.67% 15.53% 9.72%
Avg Days To Max Decline   23 19 19 12 20 18 20 21 16 12 6
Avg Max Increase   -2.11% -2.86% -2.65% -1.91% -3.54% -2.50% -4.22% -3.08% -3.60% -3.85% -0.60%
Max Increase   -5.12% -13.40% -12.01% -4.73% -11.67% -11.00% -12.38% -21.66% -10.04% -11.22% -1.90%
Avg Days to Max Increase   14 12 11 4 10 14 14 8 12 11 2
2008 Contract Condition     Yes   Yes Yes Yes   Yes   Yes  
Action     No   Yes Yes Yes   Yes   Yes  
High 132.70 155.20 144.90 153.70 156.00 145.00 139.50 128.65 127.25 123.65 136.20 117.60
Low 118.30 131.20 132.00 139.35 137.75 128.75 112.80 114.85 107.55 110.00 105.70 96.10
Close/Last 131.40 143.20 138.10 148.95 144.50 134.65 115.90 122.80 111.95 122.60 106.55 108.55

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