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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 Apr 30, 2011
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
2011 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes Yes  
Action   Yes Yes Yes   Yes Yes 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 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% 7.35%
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
2011 Contract Condition         Yes       Yes      
Action         No       Yes      
High 176.60 185.75 195.30 203.90 220.00 241.80 253.00 280.15 298.15 303.40 307.20  
Low 157.60 164.40 177.75 173.55 195.00 200.50 230.00 248.65 260.30 256.75 296.75  
Close/Last 175.35 176.40 183.35 203.80 201.25 240.65 247.70 273.60 266.75 299.85 305.10  

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