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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, 2013
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   36 42 44 45 45 45 45 45 45 45 45
Closed Higher   20 23 17 19 17 23 20 27 17 26 23
Exceeded High   16 18 12 8 13 18 15 18 14 18 10
Scenario Percentage   80% 78% 71% 42% 76% 78% 75% 67% 82% 69% 43%
Avg Max Increase   8.66% 12.97% 13.14% 10.39% 9.51% 11.53% 12.88% 9.99% 10.70% 8.29% 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   16 14 13 17 16 19 18 18 15 11 7
Avg Max Decline   -1.04% -1.63% -2.22% -2.28% -1.94% -2.92% -1.39% -4.16% -3.06% -2.17% 0.02%
Max Decline   -5.19% -9.99% -10.43% -7.24% -9.57% -11.59% -11.94% -22.29% -13.63% -10.16% -0.82%
Avg Days to Max Decline   11 11 5 6 8 14 5 13 10 6 1
2012 Contract Condition   Yes Yes   Yes         Yes   Yes
Action   Yes 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   36 42 44 45 45 45 45 45 45 45 45
Closed Lower   16 18 26 25 28 22 24 18 28 19 21
Penetrated Low   12 12 24 17 21 19 18 14 18 13 6
Scenario Percentage   75% 67% 92% 68% 75% 86% 75% 78% 64% 68% 29%
Avg Max Decline   7.93% 11.80% 10.00% 9.04% 8.43% 9.56% 10.45% 10.33% 8.15% 8.51% 5.37%
Max Decline   17.23% 19.76% 24.45% 23.27% 21.94% 37.36% 29.35% 21.93% 12.67% 15.53% 9.72%
Avg Days To Max Decline   23 20 19 13 20 17 20 21 16 12 6
Avg Max Increase   -2.47% -2.65% -3.06% -2.01% -3.45% -2.28% -4.01% -3.08% -3.60% -3.42% -1.07%
Max Increase   -6.39% -13.40% -12.46% -4.73% -11.67% -11.00% -12.38% -21.66% -10.04% -11.22% -3.44%
Avg Days to Max Increase   13 12 11 5 9 13 13 8 12 10 2
2012 Contract Condition       Yes   Yes Yes Yes Yes   Yes  
Action       No   Yes Yes Yes No   Yes  
High 164.50 169.85 172.35 171.45 202.80 188.85 180.50 159.75 142.30 124.25 131.55 140.95
Low 148.90 148.55 163.15 161.55 168.10 172.25 158.00 138.75 100.00 107.65 107.80 105.15
Close/Last 148.90 161.95 170.55 168.35 190.50 177.10 159.65 141.55 113.80 121.75 109.90 131.90

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