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