MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	34	35	35	36	36	36	36	36	36	36	36
Closed Higher	7	11	21	13	18	21	22	17	17	20	19
Exceeded High	4	9	15	10	14	16	18	12	13	13	13
Scenario Percentage	57%	82%	71%	77%	78%	76%	82%	71%	76%	65%	68%
Avg Max Increase	16.82%	9.16%	10.60%	14.29%	16.60%	16.34%	15.24%	17.11%	15.19%	17.24%	8.87%
Max Increase	52.27%	18.80%	34.78%	31.13%	49.58%	59.01%	54.25%	55.24%	38.73%	56.93%	44.70%
Avg Days To Max Increase	16	13	16	20	20	14	16	15	16	14	12
Avg Max Decline	-9.02%	-4.64%	-2.17%	-2.01%	-1.41%	-1.35%	-2.14%	-1.07%	-1.77%	-3.31%	-1.58%
Max Decline	-19.24%	-11.02%	-6.57%	-11.68%	-8.71%	-4.56%	-10.28%	-5.39%	-10.29%	-10.02%	-4.67%
Avg Days to Max Decline	15	9	9	6	7	4	9	5	6	8	4
2009 Contract Condition	Yes		Yes					Yes		Yes
Action	No		No					No		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	34	35	35	36	36	36	36	36	36	36	36
Closed Lower	27	24	14	23	17	15	14	19	19	16	17
Penetrated Low	24	14	11	17	12	12	13	18	16	12	14
Scenario Percentage	89%	58%	79%	74%	71%	80%	93%	95%	84%	75%	82%
Avg Max Decline	10.48%	11.00%	10.96%	9.44%	10.45%	9.23%	8.44%	8.17%	9.27%	8.79%	19.62%
Max Decline	25.57%	24.09%	21.08%	22.57%	22.97%	19.21%	23.36%	21.33%	18.44%	16.20%	81.92%
Avg Days To Max Decline	16	20	18	14	16	12	15	16	16	11	13
Avg Max Increase	-3.14%	-4.67%	-4.59%	-1.83%	-2.17%	-2.46%	-3.80%	-2.89%	-3.31%	-2.78%	-3.04%
Max Increase	-29.07%	-10.82%	-13.33%	-9.18%	-4.59%	-9.74%	-15.02%	-9.96%	-10.16%	-7.01%	-12.68%
Avg Days to Max Increase	9	15	10	5	8	6	9	8	11	8	5
2009 Contract Condition		Yes		Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes		Yes	Yes	Yes	No		Yes		Not Yet
High	165.25	165.25	158.00	154.00	139.00	125.95	118.50	125.50	124.25	119.20	120.30
Low	142.55	144.30	142.05	136.20	113.10	113.45	105.00	108.35	110.05	104.35	110.80
Close/Last	162.35	149.10	151.75	137.60	120.65	118.60	114.30	121.10	111.90	115.75	115.00