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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 Jan 01, 2014
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   40 40 40 40 40 40 40 40 40 40 40
Closed Higher   21 22 24 22 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% 73% 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
2013 Contract Condition         Yes              
Action         No              
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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   40 40 40 40 40 40 40 40 40 40 40
Closed Lower   19 18 16 18 22 21 21 23 31 25 18
Penetrated Low   14 15 14 16 18 17 18 19 28 15 11
Scenario Percentage   74% 83% 88% 89% 82% 81% 86% 83% 90% 60% 61%
Avg Max Decline   9.64% 8.08% 8.07% 8.94% 9.30% 8.65% 13.74% 14.29% 12.48% 10.15% 7.39%
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   17 12 15 17 18 19 23 19 16 13 11
Avg Max Increase   -2.10% -1.78% -3.56% -2.49% -2.52% -4.42% -4.80% -3.00% -4.55% -4.70% -2.26%
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   8 5 8 8 8 15 13 7 6 9 4
2013 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes   Yes Yes Yes Yes Yes Yes Yes
High 194.70 196.75 169.00 163.20 165.95 157.90 152.65 146.80 150.95 131.80 134.00 124.60
Low 168.40 167.80 155.90 150.00 151.55 143.50 137.60 135.00 127.15 117.10 117.40 112.00
Close/Last 185.60 168.00 159.20 152.45 155.70 148.70 142.40 137.35 129.15 120.40 118.60 112.10

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