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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   34 35 35 35 35 35 35 35 35 35 35
Closed Higher   20 13 18 21 23 18 17 20 17 16 10
Exceeded High   14 10 14 17 19 14 12 15 14 7 2
Scenario Percentage   70% 77% 78% 81% 83% 78% 71% 75% 82% 44% 20%
Avg Max Increase   11.01% 13.66% 16.19% 14.84% 14.39% 14.42% 14.83% 20.63% 22.50% 28.67% 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 21 20 14 16 14 18 21 18 11 11
Avg Max Decline   -1.51% -2.15% -1.15% -1.36% -1.87% -1.60% -1.68% -4.00% -3.35% -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 6 7 9 9 6 3
2008 Contract Condition     Yes   Yes Yes Yes Yes   Yes   Yes
Action     Yes   Yes Yes Yes No   Yes   Not Yet
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   34 35 35 35 35 35 35 35 35 35 35
Closed Lower   14 22 17 14 12 17 18 15 18 19 25
Penetrated Low   11 14 12 12 12 16 15 13 15 16 19
Scenario Percentage   79% 64% 71% 86% 100% 94% 83% 87% 83% 84% 76%
Avg Max Decline   10.69% 9.48% 9.33% 8.24% 7.90% 8.29% 9.14% 8.73% 15.57% 13.09% 7.72%
Max Decline   21.21% 21.65% 22.76% 18.17% 22.75% 21.57% 17.07% 17.14% 35.43% 31.90% 25.02%
Avg Days To Max Decline   18 13 15 13 15 18 18 20 22 13 11
Avg Max Increase   -4.42% -1.21% -1.67% -2.36% -2.54% -3.00% -3.17% -5.20% -3.82% -4.23% -1.73%
Max Increase   -12.46% -7.39% -4.32% -9.62% -14.70% -9.71% -10.04% -16.15% -10.75% -10.42% -8.26%
Avg Days to Max Increase   10 5 8 6 7 9 12 14 13 10 4
2008 Contract Condition   Yes   Yes         Yes   Yes  
Action   No   Yes         No   Not Yet  
High 128.05 133.00 142.25 147.50 136.00 141.70 144.30 174.10 171.00 142.85 142.00 154.05
Low 121.35 122.70 123.40 129.00 127.45 133.50 135.05 142.10 128.40 128.75 128.80 130.50
Close/Last 126.35 123.60 136.25 130.15 134.15 141.25 143.15 169.05 129.95 135.45 133.90 150.90

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