MRCI's ScenarioSM Study

ScenarioSM Study for September Coffee "C"(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		35	35	35	35	35	35	35	35	35	35	35
Closed Higher		19	20	23	19	17	17	18	16	7	12	20
Exceeded High		15	18	19	15	12	13	14	7	5	10	13
Scenario Percentage		79%	90%	83%	79%	71%	76%	78%	44%	71%	83%	65%
Avg Max Increase		15.94%	14.16%	13.84%	13.56%	13.97%	20.01%	23.18%	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	15	18	19	20	15	18	14	11
Avg Max Decline		-1.59%	-1.14%	-1.69%	-1.50%	-1.56%	-3.84%	-3.08%	-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	8	8	6	5	6	8	17	8	4
2008 Contract Condition			Yes	Yes	Yes	Yes		Yes		Yes		Yes
Action			Yes	Yes	Yes	No		Yes		No		Not Yet

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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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		35	35	35	35	35	35	35	35	35	35	35
Closed Lower		16	15	12	16	18	18	17	19	28	23	15
Penetrated Low		11	13	11	14	15	14	15	16	25	13	9
Scenario Percentage		69%	87%	92%	88%	83%	78%	88%	84%	89%	57%	60%
Avg Max Decline		9.63%	8.07%	7.99%	8.58%	9.02%	8.52%	14.10%	15.18%	12.97%	10.96%	8.42%
Max Decline		22.31%	17.16%	21.60%	20.79%	14.78%	16.67%	33.77%	33.16%	30.78%	23.47%	18.46%
Avg Days To Max Decline		17	11	14	17	19	18	24	19	16	13	11
Avg Max Increase		-1.73%	-1.98%	-2.63%	-2.40%	-2.93%	-4.50%	-4.72%	-3.20%	-4.50%	-4.75%	-2.30%
Max Increase		-4.64%	-9.42%	-14.78%	-9.41%	-9.42%	-13.68%	-21.21%	-6.95%	-39.51%	-11.96%	-8.01%
Avg Days to Max Increase		9	5	7	8	9	15	14	7	6	10	3
2008 Contract Condition		Yes					Yes		Yes		Yes
Action		Yes					No		No		Yes
High	143.70	148.10	138.10	144.00	146.60	176.05	172.85	145.30	144.30	156.30	156.20	147.85
Low	125.20	131.45	129.65	135.90	137.50	145.00	130.80	131.25	131.30	132.90	133.95	131.20
Close/Last	137.80	132.30	136.50	143.55	145.55	171.00	132.45	137.75	136.25	153.20	139.35	141.90