MRCI's ScenarioSM Study

ScenarioSM Study for July Coffee "C"(ICE) as of Jan 01, 2013
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		38	39	39	39	39	39	39	39	39	39	39
Closed Higher		23	15	20	23	24	20	18	22	18	17	13
Exceeded High		16	12	16	18	20	15	13	17	15	8	3
Scenario Percentage		70%	80%	80%	78%	83%	75%	72%	77%	83%	47%	23%
Avg Max Increase		10.65%	14.07%	15.78%	14.28%	14.49%	14.81%	14.53%	19.41%	21.20%	22.36%	18.96%
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		16	20	20	14	16	13	19	21	17	9	11
Avg Max Decline		-1.46%	-2.31%	-1.51%	-1.34%	-2.00%	-1.46%	-2.03%	-3.77%	-3.20%	-2.24%	-1.09%
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		9	5	6	6	9	6	9	9	8	5	2
2012 Contract Condition		Yes			Yes							Yes
Action		Yes			No							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		38	39	39	39	39	39	39	39	39	39	39
Closed Lower		15	24	19	16	15	19	21	17	21	22	26
Penetrated Low		12	16	14	13	14	18	17	15	16	18	20
Scenario Percentage		80%	67%	74%	81%	93%	95%	81%	88%	76%	82%	77%
Avg Max Decline		9.94%	9.54%	9.39%	8.44%	8.20%	8.67%	9.45%	8.71%	15.69%	12.41%	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	21	14	11
Avg Max Increase		-4.05%	-1.69%	-2.08%	-2.18%	-3.09%	-3.01%	-2.74%	-4.94%	-3.79%	-3.61%	-1.69%
Max Increase		-12.46%	-9.49%	-5.96%	-9.62%	-14.70%	-9.71%	-10.04%	-16.15%	-10.75%	-10.42%	-8.26%
Avg Days to Max Increase		9	6	8	6	7	9	11	12	12	8	4
2012 Contract Condition			Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action			Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
High	276.25	289.15	290.75	256.20	247.15	242.55	243.60	227.95	207.60	193.00	185.40	170.10
Low	246.80	240.65	233.75	227.50	227.50	217.65	219.00	200.95	177.30	173.90	160.15	148.20
Close/Last	249.00	288.90	234.00	233.25	241.00	232.20	220.90	206.00	185.00	179.55	160.65	170.10