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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, 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

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