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