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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Coffee "C"(ICE) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 34 35 35 35 35 36 36 36 36 36 36
Closed Higher 16 16 8 12 21 12 18 19 21 17 19
Exceeded High 12 9 5 10 15 10 14 16 17 11 12
Scenario Percentage 75% 56% 62% 83% 71% 83% 78% 84% 81% 65% 63%
Avg Max Increase 18.50% 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 21 11 14 16 15 20 19 12 17 10 8
Avg Max Decline -2.64% -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
2009 Contract Condition Yes   Yes   Yes         Yes  
Action Yes   No   No         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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 34 35 35 35 35 36 36 36 36 36 36
Closed Lower 18 19 27 23 14 24 18 17 14 19 17
Penetrated Low 15 16 23 15 11 18 15 13 12 16 12
Scenario Percentage 83% 84% 85% 65% 79% 75% 83% 76% 86% 84% 71%
Avg Max Decline 13.31% 15.99% 11.93% 10.79% 11.53% 10.87% 9.75% 10.06% 9.63% 7.47% 18.05%
Max Decline 34.94% 35.94% 26.33% 24.16% 21.71% 26.39% 24.88% 20.29% 22.16% 18.86% 44.99%
Avg Days To Max Decline 25 20 16 19 18 14 16 15 16 12 9
Avg Max Increase -3.82% -2.26% -3.86% -4.28% -4.89% -2.24% -3.27% -3.45% -3.25% -3.09% -3.29%
Max Increase -18.45% -5.76% -33.47% -9.90% -13.72% -10.48% -14.35% -11.69% -15.45% -9.70% -11.26%
Avg Days to Max Increase 15 9 8 11 10 7 10 9 8 10 8
2009 Contract Condition   Yes   Yes   Yes Yes Yes Yes   Yes
Action   No   Yes   Yes Yes Yes No   Yes
High 151.00 150.85 163.10 163.00 155.70 151.05 136.00 123.35 116.00 123.40 122.15
Low 138.10 138.40 140.00 141.55 138.90 133.25 110.10 110.60 102.15 106.05 108.00
Close/Last 144.50 142.95 160.15 146.80 149.40 134.80 117.75 116.10 112.05 118.90 109.45

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