MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		38	39	39	40	40	40	40	40	40	40	40
Closed Higher		9	14	23	16	20	23	23	19	18	21	20
Exceeded High		6	11	17	13	16	17	19	13	14	14	14
Scenario Percentage		67%	79%	74%	81%	80%	74%	83%	68%	78%	67%	70%
Avg Max Increase		15.33%	9.28%	10.35%	14.04%	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		16	12	15	18	20	14	17	14	17	13	12
Avg Max Decline		-6.76%	-4.18%	-2.10%	-1.99%	-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		11	10	10	5	7	4	10	5	8	7	3
2013 Contract Condition		Yes	Yes		Yes				Yes
Action		Yes	No		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		38	39	39	40	40	40	40	40	40	40	40
Closed Lower		29	25	16	24	19	17	17	21	22	19	20
Penetrated Low		26	15	13	18	14	13	16	20	18	15	12
Scenario Percentage		90%	60%	81%	75%	74%	76%	94%	95%	82%	79%	60%
Avg Max Decline		10.32%	10.67%	9.82%	9.11%	10.27%	8.99%	8.53%	8.55%	9.61%	8.05%	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	17	13	17	13	16	17	16	12	10
Avg Max Increase		-2.99%	-5.55%	-4.74%	-1.73%	-2.33%	-2.49%	-4.50%	-2.92%	-3.08%	-2.87%	-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	11	5	8	6	10	8	10	7	2
2013 Contract Condition				Yes		Yes	Yes	Yes		Yes	Yes	Yes
Action				Yes		Yes	Yes	Yes		Yes	Yes	Not Yet
High	197.00	180.10	200.30	186.10	189.90	191.60	163.60	157.95	160.60	152.70	147.50	143.50
Low	173.00	160.50	179.55	167.00	163.00	162.10	150.05	144.20	145.45	137.60	132.05	131.75
Close/Last	173.20	179.50	183.10	171.10	180.25	162.25	153.50	146.70	150.00	143.20	137.15	134.95