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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, 2014
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   38 39 39 39 39 40 40 40 40 40 40
Closed Higher   17 17 10 15 23 15 20 21 22 19 20
Exceeded High   13 10 7 12 17 13 16 17 18 12 13
Scenario Percentage   76% 59% 70% 80% 74% 87% 80% 81% 82% 63% 65%
Avg Max Increase   17.29% 19.93% 13.54% 9.57% 10.91% 14.69% 18.55% 16.55% 17.29% 18.65% 8.11%
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 18 19 12 17 10 8
Avg Max Decline   -2.45% -1.25% -6.55% -4.12% -2.33% -2.27% -2.20% -1.41% -3.03% -0.63% -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   4 5 13 10 10 8 7 3 10 2 3
2013 Contract Condition       Yes Yes   Yes       Yes  
Action       Yes No   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   38 39 39 39 39 40 40 40 40 40 40
Closed Lower   21 22 29 24 16 25 20 19 17 21 20
Penetrated Low   17 18 25 16 13 19 17 14 15 18 13
Scenario Percentage   81% 82% 86% 67% 81% 76% 85% 74% 88% 86% 65%
Avg Max Decline   12.95% 15.24% 11.66% 10.50% 10.33% 10.50% 9.73% 9.79% 9.44% 7.73% 4.97%
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 18 14 17 16 16 12 8
Avg Max Increase   -3.70% -2.20% -3.64% -5.19% -5.16% -2.13% -3.27% -3.42% -4.14% -3.12% -1.43%
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   13 8 8 13 11 6 10 9 9 10 2
2013 Contract Condition   Yes Yes     Yes   Yes Yes Yes   Yes
Action   Yes Yes     Yes   Yes Yes Yes   Yes
High 214.70 202.60 195.00 178.00 198.10 183.85 187.25 189.30 160.90 155.15 157.90 149.80
Low 188.55 184.75 170.30 157.35 176.20 164.30 160.40 159.10 147.10 141.25 142.60 135.90
Close/Last 195.55 189.00 170.55 177.20 180.65 168.45 177.50 159.35 150.60 143.80 146.95 142.65

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