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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 Dec 30, 2011
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   38 38 38 38 38 38 38 38 39 39 39
Closed Higher   21 17 17 19 18 8 13 23 14 20 21
Exceeded High   17 13 13 14 10 6 12 17 12 18 14
Scenario Percentage   81% 76% 76% 74% 56% 75% 92% 74% 86% 90% 67%
Avg Max Increase   13.77% 12.77% 14.15% 19.09% 19.98% 15.06% 9.87% 11.50% 15.42% 15.38% 11.43%
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 19 18 13 15 15 14 16 12 15
Avg Max Decline   -2.04% -1.97% -3.00% -2.60% -1.54% -7.17% -5.10% -2.55% -2.28% -2.29% -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 8 8 5 6 14 11 9 5 5 4
2011 Contract Condition   Yes Yes   Yes       Yes     Yes
Action   Yes Yes   Yes       Yes     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   38 38 38 38 38 38 38 38 39 39 39
Closed Lower   17 21 21 19 20 30 25 15 25 19 18
Penetrated Low   15 18 16 15 16 27 18 12 19 16 11
Scenario Percentage   88% 86% 76% 79% 80% 90% 72% 80% 76% 84% 61%
Avg Max Decline   8.14% 8.66% 7.10% 13.30% 16.19% 11.69% 10.53% 11.30% 11.71% 10.48% 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 17 25 20 16 18 16 15 12 10
Avg Max Increase   -2.36% -2.77% -3.83% -4.16% -2.44% -3.81% -5.15% -4.57% -2.85% -3.10% -1.26%
Max Increase   -9.34% -8.94% -11.74% -19.50% -6.54% -36.22% -19.40% -14.83% -10.87% -13.90% -5.00%
Avg Days to Max Increase   6 9 14 14 8 5 11 8 9 10 2
2011 Contract Condition       Yes   Yes Yes Yes   Yes Yes  
Action       Yes   Yes Yes Yes   Yes Yes  
High 232.55 247.50 277.40 298.50 308.15 313.75 281.60 274.75 288.50 290.85 252.50 240.00
Low 196.95 224.60 245.00 264.60 261.85 265.00 245.80 241.50 235.30 228.50 219.80 220.45
Close/Last 231.45 243.45 273.90 271.35 304.80 271.95 269.00 243.60 288.25 228.90 226.95 233.80

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