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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 May 31, 2010
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   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
2010 Contract Condition   Yes Yes       Yes     Yes    
Action   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 Sep 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 9
Scenario Percentage   71% 88% 85% 88% 84% 78% 83% 84% 90% 57% 56%
Avg Max Decline   9.88% 8.25% 7.99% 8.58% 8.85% 8.52% 14.10% 15.18% 12.68% 11.92% 9.89%
Max Decline   22.31% 17.16% 21.60% 20.79% 14.78% 16.67% 33.77% 33.16% 30.78% 29.24% 24.62%
Avg Days To Max Decline   16 11 14 17 18 18 24 19 16 15 14
Avg Max Increase   -1.88% -1.72% -2.63% -2.40% -2.73% -4.50% -4.72% -3.20% -4.37% -4.75% -2.39%
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 4
2010 Contract Condition       Yes Yes Yes   Yes Yes      
Action       Yes Yes No   Yes Not Yet      
High 146.20 152.05 151.35 153.40 151.00 140.75 142.00 142.75 140.00 139.00    
Low 128.70 135.20 138.55 140.45 136.50 131.55 132.10 131.75 131.60 134.70    
Close/Last 136.25 143.80 146.65 140.45 136.65 134.45 139.35 136.60 135.80 138.05    

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