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