MRCI's ScenarioSM Study

ScenarioSM Study for March Coffee "C"(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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		33	34	34	34	34	35	35	35	35	35	35
Closed Higher		15	16	7	12	20	12	18	19	21	16	19
Exceeded High		11	9	5	10	15	10	14	16	17	11	12
Scenario Percentage		73%	56%	71%	83%	75%	83%	78%	84%	81%	69%	63%
Avg Max Increase		19.01%	21.76%	13.89%	9.42%	11.28%	15.11%	19.35%	17.25%	17.41%	18.49%	8.08%
Max Increase		74.84%	103.42%	53.36%	18.58%	35.59%	32.17%	54.63%	63.74%	64.24%	63.20%	19.49%
Avg Days To Max Increase		20	11	14	16	15	20	19	12	17	10	8
Avg Max Decline		-2.50%	-1.43%	-8.03%	-4.31%	-2.34%	-2.14%	-1.88%	-1.39%	-2.86%	-0.70%	-1.01%
Max Decline		-10.69%	-5.79%	-19.74%	-11.71%	-5.64%	-12.01%	-8.79%	-5.10%	-15.35%	-3.33%	-3.67%
Avg Days to Max Decline		5	5	14	9	9	9	7	3	9	2	3
2008 Contract Condition			Yes		Yes		Yes		Yes	Yes	Yes	Yes
Action			Yes		Yes		Yes		Yes	Yes	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		33	34	34	34	34	35	35	35	35	35	35
Closed Lower		18	18	27	22	14	23	17	16	13	19	16
Penetrated Low		15	16	23	14	11	17	14	12	12	16	9
Scenario Percentage		83%	89%	85%	64%	79%	74%	82%	75%	92%	84%	56%
Avg Max Decline		13.31%	15.99%	11.93%	10.90%	11.53%	10.44%	9.50%	9.90%	9.63%	7.47%	4.26%
Max Decline		34.94%	35.94%	26.33%	24.16%	21.71%	26.39%	24.88%	20.29%	22.16%	18.86%	11.04%
Avg Days To Max Decline		25	20	16	18	18	14	17	16	16	12	6
Avg Max Increase		-3.82%	-2.26%	-3.86%	-4.16%	-4.89%	-2.32%	-3.16%	-3.75%	-3.25%	-3.09%	-1.69%
Max Increase		-18.45%	-5.76%	-33.47%	-9.90%	-13.72%	-10.48%	-14.35%	-11.69%	-15.45%	-9.70%	-5.10%
Avg Days to Max Increase		15	9	8	10	10	7	11	10	8	10	2
2008 Contract Condition		Yes		Yes		Yes		Yes
Action		Yes		Yes		No		Yes
High	129.50	126.35	123.75	128.00	123.75	129.40	138.40	144.60	131.50	137.00	139.40	169.60
Low	121.25	115.85	113.50	118.70	116.90	118.80	119.00	123.90	122.25	127.60	129.70	137.15
Close/Last	122.00	116.10	121.95	120.30	122.00	119.65	132.30	125.45	129.20	136.20	138.15	164.60