MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		33	37	39	41	42	42	42	42	42	42	42
Closed Higher		9	15	12	20	20	24	14	24	24	24	22
Exceeded High		5	7	10	13	15	15	11	18	21	17	13
Scenario Percentage		56%	47%	83%	65%	75%	63%	79%	75%	88%	71%	59%
Avg Max Increase		13.29%	8.52%	10.06%	12.37%	11.91%	8.68%	9.80%	9.72%	13.22%	13.22%	5.30%
Max Increase		26.07%	15.60%	22.94%	28.65%	34.71%	18.79%	19.25%	39.93%	41.81%	40.93%	15.03%
Avg Days To Max Increase		16	20	18	17	16	15	16	16	17	7	6
Avg Max Decline		-2.09%	-2.88%	-1.20%	-2.57%	-0.98%	-2.59%	-2.05%	-2.22%	-3.66%	-1.33%	-0.62%
Max Decline		-8.81%	-7.76%	-4.60%	-11.58%	-4.29%	-8.41%	-7.89%	-7.01%	-18.99%	-4.47%	-1.71%
Avg Days to Max Decline		4	4	8	14	5	12	8	9	12	3	1
2008 Contract Condition		Yes				Yes		Yes		Yes
Action		No				No		Yes		No

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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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		33	37	39	41	42	42	42	42	42	42	42
Closed Lower		24	22	27	21	22	17	28	17	17	18	20
Penetrated Low		22	15	21	16	18	12	22	11	12	13	4
Scenario Percentage		92%	68%	78%	76%	82%	71%	79%	65%	71%	72%	20%
Avg Max Decline		10.39%	8.86%	7.45%	8.17%	8.47%	11.12%	7.31%	10.73%	10.96%	9.99%	4.14%
Max Decline		24.62%	23.27%	15.75%	19.63%	22.22%	22.76%	13.29%	22.93%	26.83%	21.35%	7.17%
Avg Days To Max Decline		18	12	19	16	18	18	15	15	16	13	7
Avg Max Increase		-2.24%	-1.71%	-2.42%	-2.36%	-3.39%	-3.11%	-2.84%	-2.67%	-3.06%	-1.87%	-1.49%
Max Increase		-9.93%	-3.88%	-8.03%	-10.57%	-10.50%	-20.66%	-8.74%	-7.83%	-8.17%	-4.77%	-2.49%
Avg Days to Max Increase		11	5	6	12	14	10	10	14	12	3	2
2008 Contract Condition			Yes	Yes	Yes		Yes		Yes		Yes	Yes
Action			Yes	Yes	Yes		Yes		Yes		Yes	Not Yet
High	143.60	153.50	152.80	145.50	141.25	131.30	130.15	127.05	139.30	118.60	115.35	89.40
Low	131.85	137.70	138.50	130.15	116.85	118.10	111.10	113.00	109.65	99.65	85.20	72.10
Close/Last	136.40	149.45	144.70	136.85	118.75	125.80	115.45	125.75	110.55	112.15	89.20	76.20