MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		37	41	43	44	45	45	45	45	45	45	45
Closed Higher		11	18	13	21	22	26	17	26	24	25	24
Exceeded High		7	7	11	14	17	17	14	20	21	18	15
Scenario Percentage		64%	39%	85%	67%	77%	65%	82%	77%	88%	72%	63%
Avg Max Increase		12.37%	8.52%	9.53%	13.07%	11.33%	8.94%	8.83%	9.85%	12.14%	13.29%	5.94%
Max Increase		26.07%	15.60%	22.94%	28.65%	34.71%	18.79%	19.25%	39.93%	41.81%	40.93%	20.21%
Avg Days To Max Increase		14	20	18	18	18	16	13	15	16	8	7
Avg Max Decline		-0.90%	-2.88%	-0.98%	-2.54%	-1.06%	-3.65%	-2.16%	-2.10%	-3.56%	-1.83%	-0.92%
Max Decline		-8.81%	-7.76%	-4.60%	-11.58%	-4.29%	-21.28%	-7.89%	-7.01%	-18.99%	-10.23%	-3.06%
Avg Days to Max Decline		4	4	8	13	7	13	7	8	12	3	1
2012 Contract Condition			Yes					Yes		Yes
Action			No					Yes		Yes

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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		37	41	43	44	45	45	45	45	45	45	45
Closed Lower		26	23	30	23	23	18	28	18	20	20	21
Penetrated Low		23	16	23	18	19	12	21	12	15	14	5
Scenario Percentage		88%	70%	77%	78%	83%	67%	75%	67%	75%	70%	24%
Avg Max Decline		10.31%	8.93%	7.99%	9.43%	9.49%	11.12%	7.16%	10.52%	10.13%	9.97%	4.23%
Max Decline		24.62%	23.27%	18.47%	33.70%	27.83%	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	15	14	8
Avg Max Increase		-2.60%	-1.75%	-2.35%	-2.23%	-3.13%	-3.11%	-2.83%	-3.02%	-3.22%	-2.17%	-1.35%
Max Increase		-10.33%	-3.88%	-8.03%	-10.57%	-10.50%	-20.66%	-8.74%	-7.83%	-8.17%	-6.01%	-2.49%
Avg Days to Max Increase		10	5	6	11	13	10	10	13	10	3	2
2012 Contract Condition		Yes		Yes	Yes	Yes	Yes		Yes		Yes	Yes
Action		No		Yes	Yes	Yes	No		Yes		Yes	Not Yet
High	172.00	171.15	197.45	180.60	175.50	156.75	139.50	123.95	128.40	122.75	132.70	119.95
Low	162.80	159.90	166.80	166.00	154.00	138.60	102.30	109.60	107.60	103.50	112.00	104.50
Close/Last	170.20	167.85	182.05	170.10	154.30	141.75	115.10	121.20	109.85	118.95	113.15	106.25