MRCI's ScenarioSM Study

ScenarioSM Study for July Coffee "C"(ICE) as of Jan 01, 2014
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		39	40	40	40	40	40	40	40	40	40	40
Closed Higher		23	16	20	23	24	21	18	22	18	17	13
Exceeded High		16	13	16	18	20	15	13	17	15	8	3
Scenario Percentage		70%	81%	80%	78%	83%	71%	72%	77%	83%	47%	23%
Avg Max Increase		10.65%	13.47%	15.78%	14.28%	14.49%	14.81%	14.53%	19.41%	21.20%	25.59%	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	19	20	14	16	13	19	21	17	10	11
Avg Max Decline		-1.46%	-2.06%	-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
2013 Contract Condition			Yes				Yes
Action			Yes				No

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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		39	40	40	40	40	40	40	40	40	40	40
Closed Lower		16	24	20	17	16	19	22	18	22	23	27
Penetrated Low		13	16	15	14	15	18	18	16	17	19	20
Scenario Percentage		81%	67%	75%	82%	94%	95%	82%	89%	77%	83%	74%
Avg Max Decline		9.55%	9.54%	9.49%	8.26%	8.05%	8.67%	9.42%	8.82%	15.56%	12.35%	7.59%
Max Decline		21.21%	21.65%	22.76%	18.17%	22.75%	21.57%	17.07%	17.14%	35.43%	31.90%	25.02%
Avg Days To Max Decline		17	13	16	13	16	18	18	20	21	14	11
Avg Max Increase		-4.66%	-1.69%	-2.00%	-2.21%	-3.49%	-3.01%	-2.74%	-5.04%	-4.16%	-3.88%	-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		11	6	8	6	8	9	10	14	12	9	4
2013 Contract Condition		Yes		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Not Yet
High	202.20	187.15	192.30	194.25	166.40	160.50	163.30	155.20	149.95	144.50	148.80	129.90
Low	182.55	170.05	165.50	165.00	153.00	147.10	148.40	140.50	134.80	132.70	125.05	116.90
Close/Last	185.45	173.60	182.95	165.15	156.35	149.55	152.90	145.90	139.65	135.10	127.05	120.00