MRCI's ScenarioSM Study

ScenarioSM Study for March Coffee "C"(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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		37	38	38	38	38	39	39	39	39	39	39
Closed Higher		17	17	9	14	23	14	20	21	22	18	20
Exceeded High		13	10	6	12	17	12	16	17	18	12	13
Scenario Percentage		76%	59%	67%	86%	74%	86%	80%	81%	82%	67%	65%
Avg Max Increase		17.29%	19.93%	13.84%	9.57%	10.91%	15.36%	18.55%	16.55%	17.29%	18.73%	8.18%
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		19	10	15	15	15	19	19	12	17	11	9
Avg Max Decline		-2.45%	-1.25%	-7.55%	-4.12%	-2.33%	-2.40%	-2.20%	-1.41%	-3.03%	-0.63%	-1.19%
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		4	5	15	10	10	8	7	3	10	2	3
2012 Contract Condition		Yes				Yes			Yes
Action		Yes				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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		37	38	38	38	38	39	39	39	39	39	39
Closed Lower		20	21	29	24	15	25	19	18	16	21	19
Penetrated Low		16	17	25	16	12	19	16	13	14	18	12
Scenario Percentage		80%	81%	86%	67%	80%	76%	84%	72%	88%	86%	63%
Avg Max Decline		12.71%	15.68%	11.66%	10.50%	10.73%	10.50%	9.63%	10.06%	9.72%	7.73%	4.83%
Max Decline		34.94%	35.94%	26.33%	24.16%	21.71%	26.39%	24.88%	20.29%	22.16%	18.86%	12.03%
Avg Days To Max Decline		24	20	15	20	17	14	16	15	16	12	7
Avg Max Increase		-3.73%	-2.33%	-3.64%	-5.19%	-4.56%	-2.13%	-3.42%	-3.45%	-3.73%	-3.12%	-1.30%
Max Increase		-18.45%	-5.76%	-33.47%	-18.81%	-13.72%	-10.48%	-14.35%	-11.69%	-15.45%	-9.70%	-5.10%
Avg Days to Max Increase		14	8	8	13	9	6	10	9	9	10	2
2012 Contract Condition			Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
Action			Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
High	295.00	307.90	313.15	283.50	276.75	290.85	293.10	255.00	243.30	238.95	238.50	222.45
Low	262.70	263.30	267.30	249.65	245.00	238.15	231.80	223.15	224.00	212.35	213.10	195.90
Close/Last	272.60	304.55	274.20	271.60	246.70	290.60	232.05	230.40	236.90	226.85	215.05	203.15