|
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 |
|
|
|
|
|
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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