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