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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 May 31, 2010
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   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
2010 Contract Condition       Yes     Yes          
Action       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 Dec 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 11
Scenario Percentage   88% 85% 75% 78% 83% 90% 71% 80% 75% 83% 65%
Avg Max Decline   8.47% 9.04% 7.34% 14.00% 16.52% 11.66% 10.79% 11.30% 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 16 15 11 10
Avg Max Increase   -2.33% -2.58% -3.95% -4.29% -2.37% -3.88% -4.31% -4.57% -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 5 10 8 9 10 2
2010 Contract Condition   Yes Yes   Yes Yes            
Action   Yes Yes   Yes Not Yet            
High 155.10 152.90 142.35 143.45 144.45 141.50 140.65          
Low 142.25 138.40 133.50 134.30 133.35 133.25 136.65          
Close/Last 142.25 138.50 136.30 141.10 138.25 137.40 139.70          

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