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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Coffee "C"(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 34 34 34 34 34 34 34 34 35 35 35
Closed Higher 18 15 15 17 17 6 11 20 12 18 18
Exceeded High 15 11 11 12 9 4 10 15 10 16 13
Scenario Percentage 83% 73% 73% 71% 53% 67% 91% 75% 83% 89% 72%
Avg Max Increase 12.88% 13.88% 15.02% 20.93% 21.79% 18.71% 9.80% 12.00% 15.18% 15.88% 11.54%
Max Increase 49.02% 28.74% 58.95% 75.81% 102.19% 53.42% 20.58% 38.16% 34.86% 44.71% 27.08%
Avg Days To Max Increase 17 19 20 19 14 16 17 14 16 12 14
Avg Max Decline -2.34% -1.70% -3.23% -2.65% -1.71% -9.21% -5.43% -2.51% -1.96% -2.00% -0.67%
Max Decline -7.62% -11.73% -10.40% -11.13% -5.28% -20.62% -20.13% -6.26% -12.69% -9.64% -4.10%
Avg Days to Max Decline 9 5 8 6 7 16 11 7 5 4 2
2007 Contract Condition         Yes   Yes   Yes   Yes
Action         Yes   Yes   Yes   Yes
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 34 34 34 34 34 34 34 34 35 35 35
Closed Lower 16 19 19 17 17 28 23 14 23 17 17
Penetrated Low 14 16 15 14 15 25 16 11 17 13 12
Scenario Percentage 88% 84% 79% 82% 88% 89% 70% 79% 74% 76% 71%
Avg Max Decline 8.47% 9.22% 7.34% 14.00% 16.52% 11.91% 10.84% 12.15% 11.70% 10.60% 14.24%
Max Decline 19.63% 20.31% 15.48% 33.87% 34.05% 27.40% 24.43% 22.36% 29.23% 25.29% 46.77%
Avg Days To Max Decline 19 18 18 25 20 16 17 17 15 11 9
Avg Max Increase -2.33% -2.75% -3.95% -4.29% -2.37% -3.99% -4.19% -4.90% -3.13% -2.65% -2.60%
Max Increase -9.34% -8.94% -11.74% -19.50% -6.54% -36.22% -11.05% -14.83% -10.87% -13.90% -11.34%
Avg Days to Max Increase 6 8 15 14 9 6 9 9 10 8 4
2007 Contract Condition Yes Yes Yes Yes   Yes   Yes   Yes  
Action Yes Yes Yes Yes   Yes   No   Yes  
High 137.00 131.25 127.00 123.15 120.50 124.75 120.00 126.00 135.00 140.80 127.50
Low 128.00 124.00 117.85 112.40 110.00 114.80 113.00 115.00 115.20 119.80 118.00
Close/Last 130.15 127.35 118.60 112.65 118.50 116.70 118.30 115.85 128.65 121.35 125.95

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