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