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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Coffee "C"(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 34 34 34 34 34 34 34 34 34 34 34
Closed Higher 19 19 22 18 16 17 17 16 6 12 19
Exceeded High 15 17 18 14 11 13 13 7 5 10 13
Scenario Percentage 79% 89% 82% 78% 69% 76% 76% 44% 83% 83% 68%
Avg Max Increase 15.94% 14.55% 13.50% 13.19% 15.18% 20.01% 23.92% 30.20% 15.51% 10.03% 6.70%
Max Increase 54.56% 58.99% 42.09% 38.59% 32.10% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase 20 15 16 16 19 19 19 15 18 14 11
Avg Max Decline -1.59% -1.18% -1.55% -1.58% -1.48% -3.84% -2.96% -2.35% -11.15% -5.39% -1.32%
Max Decline -8.13% -6.04% -8.89% -4.17% -10.05% -11.70% -11.79% -5.93% -21.26% -13.46% -3.35%
Avg Days to Max Decline 9 5 7 8 6 5 7 8 17 8 4
2007 Contract Condition Yes Yes Yes         Yes   Yes  
Action Yes Yes No         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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 34 34 34 34 34 34 34 34 34 34 34
Closed Lower 15 15 12 16 18 17 17 18 28 22 15
Penetrated Low 10 13 11 14 15 14 15 16 25 12 12
Scenario Percentage 67% 87% 92% 88% 83% 82% 88% 89% 89% 55% 80%
Avg Max Decline 10.39% 8.07% 7.99% 8.58% 9.02% 8.52% 14.10% 15.18% 12.97% 11.10% 16.24%
Max Decline 22.31% 17.16% 21.60% 20.79% 14.78% 16.67% 33.77% 33.16% 30.78% 23.47% 59.18%
Avg Days To Max Decline 18 11 14 17 19 18 24 19 16 13 14
Avg Max Increase -1.75% -1.98% -2.63% -2.40% -2.93% -4.50% -4.72% -3.20% -4.50% -4.64% -4.65%
Max Increase -4.64% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -6.95% -39.51% -11.96% -15.13%
Avg Days to Max Increase 10 5 7 8 9 15 14 7 6 9 6
2007 Contract Condition       Yes Yes Yes Yes   Yes   Yes
Action       Yes Yes Yes Yes   Yes   Not Yet
High 121.00 134.00 138.00 133.55 128.00 123.90 119.85 116.80 121.15 116.20 121.90
Low 113.00 119.75 131.25 124.50 119.95 114.25 108.65 106.20 110.90 108.70 110.95
Close/Last 119.90 132.55 134.65 126.60 123.90 115.00 109.00 114.75 112.80 114.30 112.65

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