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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, 2010
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 35 36 36 36 36 36 36 36 36 36 36
Closed Higher 21 13 18 21 23 19 17 21 17 17 10
Exceeded High 14 10 14 17 19 14 12 16 14 8 2
Scenario Percentage 67% 77% 78% 81% 83% 74% 71% 76% 82% 47% 20%
Avg Max Increase 11.01% 13.66% 16.19% 14.84% 14.39% 14.42% 14.83% 20.46% 22.50% 25.59% 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 22 18 10 11
Avg Max Decline -1.51% -2.15% -1.15% -1.36% -1.87% -1.60% -1.68% -4.02% -3.35% -2.24% -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 5 3
2009 Contract Condition Yes         Yes   Yes   Yes  
Action No         No   Yes   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 35 36 36 36 36 36 36 36 36 36 36
Closed Lower 14 23 18 15 13 17 19 15 19 19 26
Penetrated Low 11 15 13 13 12 16 16 13 15 16 21
Scenario Percentage 79% 65% 72% 87% 92% 94% 84% 87% 79% 84% 81%
Avg Max Decline 10.69% 9.99% 9.60% 8.44% 7.90% 8.29% 8.98% 8.73% 15.57% 13.09% 17.88%
Max Decline 21.21% 21.65% 22.76% 18.17% 22.75% 21.57% 17.07% 17.14% 35.43% 31.90% 46.21%
Avg Days To Max Decline 18 13 15 12 15 18 17 20 22 13 13
Avg Max Increase -4.42% -1.17% -1.79% -2.18% -2.54% -3.00% -2.95% -5.20% -3.82% -4.23% -2.70%
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 8 6 7 9 11 14 13 10 5
2009 Contract Condition   Yes Yes Yes Yes   Yes   Yes   Yes
Action   Yes Yes Yes No   Yes   No   Yes
High 160.00 155.15 141.10 127.30 120.80 127.35 126.40 121.00 122.35 138.85 142.90
Low 144.30 138.90 116.45 116.15 107.60 111.05 112.35 106.60 112.75 115.65 115.00
Close/Last 154.00 140.10 123.40 120.80 116.50 123.20 114.20 117.70 115.90 137.40 117.30

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