|
 |
| 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 |
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
