MRCI's ScenarioSM Study

ScenarioSM Study for September Coffee "C"(ICE) as of Jan 01, 2013
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		39	39	39	39	39	39	39	39	39	39	39
Closed Higher		21	22	24	21	18	19	19	17	9	15	22
Exceeded High		17	19	20	16	13	15	15	8	7	12	15
Scenario Percentage		81%	86%	83%	76%	72%	79%	79%	47%	78%	80%	68%
Avg Max Increase		15.56%	13.65%	14.05%	14.06%	13.77%	18.67%	21.83%	26.91%	14.68%	9.94%	6.55%
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		21	15	17	14	19	18	19	14	18	13	10
Avg Max Decline		-1.81%	-1.14%	-1.78%	-1.38%	-1.88%	-3.58%	-2.93%	-2.13%	-8.92%	-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		8	6	8	7	8	6	6	7	15	9	3
2012 Contract Condition			Yes							Yes	Yes
Action			No							Yes	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		39	39	39	39	39	39	39	39	39	39	39
Closed Lower		18	17	15	18	21	20	20	22	30	24	17
Penetrated Low		13	14	13	16	17	16	17	18	27	14	10
Scenario Percentage		72%	82%	87%	89%	81%	80%	85%	82%	90%	58%	59%
Avg Max Decline		9.56%	8.25%	8.24%	8.94%	9.30%	8.52%	13.68%	14.57%	12.69%	10.42%	8.03%
Max Decline		22.31%	17.16%	21.60%	20.79%	16.50%	16.67%	33.77%	33.16%	30.78%	23.47%	18.46%
Avg Days To Max Decline		16	11	15	17	18	18	24	19	15	13	10
Avg Max Increase		-2.21%	-1.72%	-3.15%	-2.49%	-2.52%	-4.32%	-4.50%	-3.05%	-4.30%	-4.67%	-2.10%
Max Increase		-6.26%	-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	8	14	13	7	6	9	3
2012 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action		Yes		Yes	Yes	Yes	Yes	Yes	Yes			Yes
High	288.85	255.00	247.75	243.40	244.80	230.75	209.70	195.55	187.50	171.75	192.20	177.85
Low	232.90	227.30	229.90	220.00	221.40	204.10	180.45	176.65	162.50	150.10	169.70	157.40
Close/Last	233.90	233.15	242.00	234.25	223.40	208.50	187.85	181.80	162.95	170.70	174.40	164.55