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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, 2010
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 36 36 36 36 36 36 36 36 37 37 37
Closed Higher 20 16 16 18 18 7 12 21 13 19 20
Exceeded High 16 12 12 13 10 5 11 15 11 17 14
Scenario Percentage 80% 75% 75% 72% 56% 71% 92% 71% 85% 89% 70%
Avg Max Increase 13.21% 12.79% 15.13% 20.33% 19.98% 15.35% 9.65% 12.00% 15.05% 16.06% 11.76%
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 13 13 16 14 16 13 15
Avg Max Decline -2.21% -1.76% -3.28% -2.80% -1.54% -7.46% -4.98% -2.51% -1.91% -2.42% -0.94%
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 9 5 6 13 10 7 5 7 4
2009 Contract Condition Yes   Yes   Yes   Yes   Yes Yes Yes
Action No   Yes   Yes   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 36 36 36 36 36 36 36 36 37 37 37
Closed Lower 16 20 20 18 18 29 24 15 24 18 17
Penetrated Low 14 17 15 14 15 26 17 12 18 15 12
Scenario Percentage 88% 85% 75% 78% 83% 90% 71% 80% 75% 83% 71%
Avg Max Decline 8.47% 9.04% 7.34% 14.00% 16.52% 11.66% 10.79% 11.30% 12.13% 10.71% 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 16 15 11 9
Avg Max Increase -2.33% -2.58% -3.95% -4.29% -2.37% -3.88% -4.31% -4.57% -3.02% -2.92% -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 5 10 8 9 10 4
2009 Contract Condition   Yes   Yes   Yes   Yes      
Action   Yes   No   Yes   Yes      
High 131.90 131.10 126.00 127.25 142.65 146.45 131.05 141.65 138.30 145.40 144.00
Low 116.00 117.55 112.00 117.95 120.90 120.50 116.40 120.30 119.90 125.90 130.00
Close/Last 127.90 119.30 122.60 120.95 141.35 122.80 131.00 122.30 127.80 135.50 141.75

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