MRCI's ScenarioSM Study

ScenarioSM Study for December Coffee "C"(ICE) as of Jan 01, 2013
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		39	39	39	39	39	39	39	39	40	40	40
Closed Higher		21	17	17	19	18	9	14	23	15	20	21
Exceeded High		17	13	13	14	10	7	12	17	13	18	14
Scenario Percentage		81%	76%	76%	74%	56%	78%	86%	74%	87%	90%	67%
Avg Max Increase		13.77%	12.77%	14.15%	19.09%	19.98%	14.64%	9.87%	11.50%	14.76%	15.30%	11.09%
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	14	15	14	15	12	14
Avg Max Decline		-2.04%	-1.97%	-3.00%	-2.60%	-1.54%	-6.21%	-5.10%	-2.55%	-2.16%	-2.29%	-0.71%
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	12	11	9	5	5	2
2012 Contract Condition							Yes	Yes		Yes
Action							Yes	No		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		39	39	39	39	39	39	39	39	40	40	40
Closed Lower		18	22	22	20	21	30	25	16	25	20	19
Penetrated Low		16	19	17	16	17	27	18	13	19	16	11
Scenario Percentage		89%	86%	77%	80%	81%	90%	72%	81%	76%	80%	58%
Avg Max Decline		8.78%	9.04%	7.46%	13.54%	15.69%	11.69%	10.53%	10.91%	11.71%	10.59%	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	24	20	16	18	17	15	12	10
Avg Max Increase		-2.44%	-2.59%	-3.83%	-4.09%	-2.31%	-3.81%	-5.15%	-5.19%	-2.85%	-2.89%	-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	13	13	8	5	11	10	9	8	2
2012 Contract Condition		Yes	Yes	Yes	Yes	Yes			Yes		Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes			Yes		Yes	Not Yet
High	244.50	247.10	234.35	213.30	199.10	191.10	174.60	194.85	180.50	183.70	185.45	156.40
Low	222.30	224.30	207.90	184.55	180.60	166.25	153.70	172.95	160.25	156.55	154.40	132.25
Close/Last	236.00	226.05	211.85	191.65	185.35	166.70	173.75	177.25	164.75	173.50	154.65	142.10