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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Coffee "C"(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 33 34 34 34 34 34 34 34 34 34 34
Closed Higher 20 12 18 20 22 17 16 20 16 16 9
Exceeded High 14 9 14 16 18 13 11 15 13 7 2
Scenario Percentage 70% 75% 78% 80% 82% 76% 69% 75% 81% 44% 22%
Avg Max Increase 11.01% 14.26% 16.19% 15.30% 14.04% 14.03% 16.12% 20.63% 23.18% 24.98% 22.49%
Max Increase 34.47% 30.79% 52.19% 59.47% 48.77% 49.16% 33.85% 82.60% 115.64% 109.13% 38.87%
Avg Days To Max Increase 17 22 20 14 15 14 19 21 17 10 11
Avg Max Decline -1.51% -2.37% -1.15% -1.41% -1.73% -1.66% -1.60% -4.00% -3.24% -2.48% -2.35%
Max Decline -5.27% -11.27% -8.11% -6.12% -9.98% -6.44% -9.36% -12.47% -12.38% -6.90% -3.16%
Avg Days to Max Decline 8 6 6 6 8 7 7 9 9 6 3
2007 Contract Condition Yes   Yes Yes Yes         Yes  
Action No   Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 33 34 34 34 34 34 34 34 34 34 34
Closed Lower 13 22 16 14 12 17 18 14 18 18 25
Penetrated Low 11 14 11 12 12 16 15 13 15 16 20
Scenario Percentage 85% 64% 69% 86% 100% 94% 83% 93% 83% 89% 80%
Avg Max Decline 10.69% 9.48% 9.99% 8.24% 7.90% 8.29% 9.14% 8.73% 15.57% 12.88% 18.53%
Max Decline 21.21% 21.65% 22.76% 18.17% 22.75% 21.57% 17.07% 17.14% 35.43% 28.60% 46.21%
Avg Days To Max Decline 18 13 17 13 15 18 18 20 22 13 13
Avg Max Increase -4.42% -1.21% -1.66% -2.36% -2.54% -3.00% -3.17% -5.20% -3.82% -3.83% -2.79%
Max Increase -12.46% -7.39% -4.32% -9.62% -14.70% -9.71% -10.04% -16.15% -10.75% -10.42% -13.12%
Avg Days to Max Increase 10 5 9 6 7 9 12 14 13 9 5
2007 Contract Condition   Yes       Yes Yes Yes Yes   Yes
Action   No       Yes Yes Yes Yes   Yes
High 121.00 118.75 119.50 131.40 135.80 130.90 125.40 121.50 117.05 114.05 118.40
Low 110.10 109.70 110.40 117.25 127.50 121.50 117.20 111.40 105.75 103.25 109.25
Close/Last 116.35 115.95 117.50 129.90 132.00 123.85 121.25 112.20 106.15 111.90 111.00

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