|
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 |
|
|
|
|
|
|
|
|
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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