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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 38 38 39 39 39 39 39 39 39 39
Closed Higher   8 13 23 15 20 23 23 18 18 21 20
Exceeded High   5 11 17 12 16 17 19 13 14 14 14
Scenario Percentage   63% 85% 74% 80% 80% 74% 83% 72% 78% 67% 70%
Avg Max Increase   16.08% 9.28% 10.35% 14.69% 16.14% 15.67% 15.23% 17.36% 14.88% 16.37% 8.57%
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   17 12 15 19 20 14 17 14 17 13 12
Avg Max Decline   -8.12% -4.18% -2.10% -2.22% -1.77% -1.34% -2.31% -0.99% -2.11% -3.07% -1.49%
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   13 10 10 5 7 4 10 5 8 7 3
2012 Contract Condition       Yes     Yes          
Action       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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 38 38 39 39 39 39 39 39 39 39
Closed Lower   29 25 15 24 18 16 16 21 21 18 19
Penetrated Low   26 15 12 18 13 12 15 20 17 14 12
Scenario Percentage   90% 60% 80% 75% 72% 75% 94% 95% 81% 78% 63%
Avg Max Decline   10.32% 10.67% 10.20% 9.11% 10.20% 9.23% 8.69% 8.55% 9.71% 8.35% 6.22%
Max Decline   25.57% 24.09% 21.08% 22.57% 22.97% 19.21% 23.36% 21.33% 18.44% 18.02% 13.47%
Avg Days To Max Decline   15 20 16 13 16 12 16 17 17 11 10
Avg Max Increase   -2.99% -5.55% -4.14% -1.73% -2.44% -2.46% -4.17% -2.92% -3.09% -2.85% -1.69%
Max Increase   -29.07% -17.80% -13.33% -9.18% -5.69% -9.74% -15.02% -9.96% -10.16% -7.01% -5.25%
Avg Days to Max Increase   8 16 9 5 9 6 9 8 11 7 2
2012 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes Yes Yes
Action   Yes Yes   Yes Yes   Yes Yes Yes Yes Not Yet
High 311.55 285.00 277.65 290.75 292.50 256.15 245.30 240.80 241.10 225.00 205.10 190.45
Low 267.50 252.00 247.00 240.00 233.30 225.40 226.00 215.25 216.00 197.80 174.45 171.90
Close/Last 275.45 272.90 248.30 290.50 233.60 232.10 239.15 229.65 218.00 203.25 182.45 177.95

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