MRCI's ScenarioSM Study

ScenarioSM Study for July Coffee "C"(ICE) as of Dec 31, 2010
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		36	37	37	37	37	37	37	37	37	37	37
Closed Higher		21	14	19	22	23	19	17	22	17	17	11
Exceeded High		14	11	15	18	19	14	12	17	14	8	2
Scenario Percentage		67%	79%	79%	82%	83%	74%	71%	77%	82%	47%	18%
Avg Max Increase		11.01%	13.54%	15.59%	14.28%	14.39%	14.42%	14.83%	19.41%	22.50%	22.36%	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	9	11
Avg Max Decline		-1.51%	-2.03%	-1.32%	-1.34%	-1.87%	-1.60%	-1.68%	-3.77%	-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	5	7	6	8	6	7	9	9	5	3
2010 Contract Condition			Yes	Yes	Yes				Yes			Yes
Action			Yes	Yes	Yes				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		36	37	37	37	37	37	37	37	37	37	37
Closed Lower		15	23	18	15	14	18	20	15	20	20	26
Penetrated Low		12	15	13	13	13	17	16	13	15	16	20
Scenario Percentage		80%	65%	72%	87%	93%	94%	80%	87%	75%	80%	77%
Avg Max Decline		9.94%	9.99%	9.60%	8.44%	7.79%	8.02%	8.98%	8.73%	15.57%	12.88%	7.45%
Max Decline		21.21%	21.65%	22.76%	18.17%	22.75%	21.57%	17.07%	17.14%	35.43%	28.60%	25.02%
Avg Days To Max Decline		16	13	15	12	15	18	17	20	22	13	11
Avg Max Increase		-4.05%	-1.17%	-1.79%	-2.18%	-2.95%	-3.00%	-2.95%	-5.20%	-3.82%	-3.83%	-1.69%
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		9	5	8	6	7	9	11	14	13	9	4
2010 Contract Condition		Yes				Yes	Yes	Yes		Yes	Yes
Action		Yes				Yes	Yes	No		No	Not Yet
High	137.65	147.50	144.55	151.00	150.00	152.15	150.00	139.15	140.65	141.45	138.70	175.00
Low	123.25	127.00	126.85	133.35	136.80	139.05	135.00	130.00	130.50	130.20	130.25	132.55
Close/Last	137.65	128.95	134.45	142.10	145.20	139.05	135.10	132.90	137.85	135.30	134.25	164.20