MRCI's ScenarioSM Study

ScenarioSM Study for September Coffee "C"(ICE) as of Jan 01, 2010
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	36	36	36	36	36	36	36	36	36	36	36
Closed Higher	19	20	23	20	17	18	18	17	7	13	20
Exceeded High	15	18	19	15	12	14	14	8	5	11	13
Scenario Percentage	79%	90%	83%	75%	71%	78%	78%	47%	71%	85%	65%
Avg Max Increase	15.94%	14.16%	13.84%	13.56%	13.97%	19.83%	23.18%	26.91%	15.51%	10.14%	7.32%
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	14	18	14	12
Avg Max Decline	-1.59%	-1.14%	-1.69%	-1.50%	-1.56%	-3.85%	-3.08%	-2.13%	-11.15%	-4.89%	-1.33%
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	6	6	7	17	8	5
2009 Contract Condition				Yes		Yes		Yes		Yes
Action				No		Yes		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	36	36	36	36	36	36	36	36	36	36	36
Closed Lower	17	16	13	16	19	18	18	19	29	23	16
Penetrated Low	12	14	11	14	16	14	15	16	26	13	12
Scenario Percentage	71%	88%	85%	88%	84%	78%	83%	84%	90%	57%	75%
Avg Max Decline	9.88%	8.25%	7.99%	8.58%	8.85%	8.52%	14.10%	15.18%	12.68%	11.92%	17.02%
Max Decline	22.31%	17.16%	21.60%	20.79%	14.78%	16.67%	33.77%	33.16%	30.78%	29.24%	59.18%
Avg Days To Max Decline	16	11	14	17	18	18	24	19	16	15	16
Avg Max Increase	-1.88%	-1.72%	-2.63%	-2.40%	-2.73%	-4.50%	-4.72%	-3.20%	-4.37%	-4.75%	-4.89%
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	9	5	7	8	9	15	14	7	6	10	7
2009 Contract Condition	Yes	Yes	Yes		Yes		Yes		Yes		Yes
Action	Yes	Yes	No		Yes		No		Yes		Not Yet
High	141.75	130.40	121.10	129.20	128.30	123.15	124.55	140.80	144.80	128.00	138.60
Low	119.00	118.65	110.00	112.75	114.65	109.00	115.00	117.90	117.55	113.35	118.60
Close/Last	126.00	123.05	118.55	125.15	116.35	119.75	118.10	139.40	119.90	127.85	120.90