|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Coffee "C"(ICE) as of Apr 30, 2011 |
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 |
|
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
|
20 |
21 |
23 |
20 |
17 |
19 |
18 |
17 |
8 |
14 |
21 |
| Exceeded High |
|
16 |
19 |
19 |
15 |
12 |
15 |
14 |
8 |
6 |
12 |
14 |
| Scenario Percentage |
|
80% |
90% |
83% |
75% |
71% |
79% |
78% |
47% |
75% |
86% |
67% |
| Avg Max Increase |
|
15.36% |
13.65% |
13.84% |
13.56% |
13.97% |
18.67% |
23.18% |
26.91% |
15.02% |
10.17% |
7.53% |
| 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 |
18 |
20 |
14 |
19 |
14 |
12 |
| Avg Max Decline |
|
-1.72% |
-1.14% |
-1.69% |
-1.50% |
-1.56% |
-3.58% |
-3.08% |
-2.13% |
-10.30% |
-5.08% |
-1.10% |
| 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 |
6 |
8 |
8 |
6 |
6 |
6 |
7 |
18 |
9 |
5 |
| 2011 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| Action |
|
Yes |
|
Yes |
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 |
|
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
|
17 |
16 |
14 |
17 |
20 |
18 |
19 |
20 |
29 |
23 |
16 |
| Penetrated Low |
|
12 |
14 |
12 |
15 |
16 |
14 |
16 |
16 |
26 |
13 |
9 |
| Scenario Percentage |
|
71% |
88% |
86% |
88% |
80% |
78% |
84% |
80% |
90% |
57% |
56% |
| Avg Max Decline |
|
9.88% |
8.25% |
7.85% |
8.26% |
8.85% |
8.52% |
13.45% |
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 |
15 |
17 |
18 |
18 |
24 |
19 |
16 |
15 |
14 |
| Avg Max Increase |
|
-1.88% |
-1.72% |
-3.03% |
-2.44% |
-2.73% |
-4.50% |
-4.58% |
-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 |
| 2011 Contract Condition |
|
|
Yes |
|
|
|
Yes |
|
|
|
|
|
| Action |
|
|
No |
|
|
|
Yes |
|
|
|
|
|
| High |
194.00 |
200.30 |
215.30 |
237.75 |
250.85 |
280.00 |
299.35 |
305.90 |
309.75 |
|
|
|
| Low |
176.90 |
172.55 |
193.75 |
199.15 |
228.95 |
247.45 |
262.50 |
259.40 |
299.90 |
|
|
|
| Close/Last |
182.15 |
200.25 |
199.45 |
236.95 |
246.40 |
274.95 |
269.10 |
302.50 |
307.80 |
|
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
