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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 Dec 31, 2010
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   35 36 36 36 36 37 37 37 37 37 37
Closed Higher   16 17 8 13 21 13 19 20 21 17 19
Exceeded High   12 10 5 11 15 11 15 17 17 11 12
Scenario Percentage   75% 59% 63% 85% 71% 85% 79% 85% 81% 65% 63%
Avg Max Increase   18.50% 19.93% 13.89% 9.27% 11.28% 14.94% 18.59% 16.55% 17.41% 18.62% 8.36%
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 10 14 16 15 20 19 12 17 11 10
Avg Max Decline   -2.64% -1.25% -8.03% -3.93% -2.34% -2.07% -2.02% -1.41% -2.86% -0.70% -1.10%
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 8 9 8 7 3 9 2 3
2010 Contract Condition     Yes   Yes   Yes Yes Yes      
Action     Yes   Yes   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 36 36 36 36 37 37 37 37 37 37
Closed Lower   19 19 28 23 15 24 18 17 15 20 18
Penetrated Low   15 16 24 15 12 18 15 13 13 17 11
Scenario Percentage   79% 84% 86% 65% 80% 75% 83% 76% 87% 85% 61%
Avg Max Decline   13.31% 15.99% 11.64% 10.79% 10.73% 10.87% 9.75% 10.06% 9.42% 7.26% 4.17%
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 19 17 14 16 15 16 12 6
Avg Max Increase   -3.82% -2.26% -3.71% -4.28% -4.56% -2.24% -3.27% -3.45% -3.62% -3.10% -1.51%
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 11 9 7 10 9 8 10 2
2010 Contract Condition   Yes   Yes   Yes       Yes Yes Yes
Action   No   Yes   Yes       Yes Yes Yes
High 128.75 130.00 144.75 148.45 133.85 144.25 141.10 147.95 146.85 149.50 146.95 135.95
Low 115.00 120.95 125.70 123.50 119.30 123.25 122.80 128.90 133.05 135.80 131.60 126.60
Close/Last 125.30 123.70 143.45 125.60 133.85 125.20 130.70 138.55 142.00 135.95 131.70 129.05

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