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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   35 35 35 35 35 35 35 35 36 36 36
Closed Higher   19 16 15 18 17 7 11 21 12 18 19
Exceeded High   16 12 11 13 9 5 10 15 10 16 13
Scenario Percentage   84% 75% 73% 72% 53% 71% 91% 71% 83% 89% 68%
Avg Max Increase   13.21% 12.79% 15.02% 20.33% 21.79% 15.35% 9.80% 12.00% 15.18% 16.44% 12.26%
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   16 18 20 20 14 13 17 14 16 13 15
Avg Max Decline   -2.21% -1.76% -3.23% -2.80% -1.71% -7.46% -5.43% -2.51% -1.96% -2.32% -0.92%
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   8 5 8 5 7 13 11 7 5 6 4
2008 Contract Condition   Yes Yes   Yes   Yes   Yes     Yes
Action   Yes No   Yes   Yes   No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   35 35 35 35 35 35 35 35 36 36 36
Closed Lower   16 19 20 17 18 28 24 14 24 18 17
Penetrated Low   14 16 15 14 15 25 17 11 18 15 11
Scenario Percentage   88% 84% 75% 82% 83% 89% 71% 79% 75% 83% 65%
Avg Max Decline   8.47% 9.22% 7.34% 14.00% 16.52% 11.91% 10.79% 12.15% 12.13% 10.71% 6.45%
Max Decline   19.63% 20.31% 15.48% 33.87% 34.05% 27.40% 24.43% 22.36% 29.23% 25.29% 13.93%
Avg Days To Max Decline   19 18 18 25 20 16 17 17 15 11 10
Avg Max Increase   -2.33% -2.75% -3.95% -4.29% -2.37% -3.99% -4.31% -4.90% -3.02% -2.92% -1.26%
Max Increase   -9.34% -8.94% -11.74% -19.50% -6.54% -36.22% -11.05% -14.83% -10.87% -13.90% -5.00%
Avg Days to Max Increase   6 8 15 14 9 6 10 9 9 10 2
2008 Contract Condition       Yes   Yes   Yes   Yes Yes  
Action       No   No   Yes   Yes Yes  
High 146.95 150.20 178.90 176.00 148.05 147.25 159.60 159.75 152.25 148.00 131.90 118.50
Low 138.55 141.10 148.60 133.90 134.80 134.75 136.50 137.65 135.15 128.80 105.05 106.25
Close/Last 146.95 148.90 173.90 135.80 141.15 139.65 156.75 143.15 145.75 130.45 113.00 114.10

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