MRCI's ScenarioSM Study

ScenarioSM Study for December Coffee "C"(ICE) as of Jan 01, 2014
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		40	40	40	40	40	40	40	40	41	41	41
Closed Higher		22	17	17	19	18	9	14	23	15	20	22
Exceeded High		17	13	13	14	10	7	12	17	13	18	15
Scenario Percentage		77%	76%	76%	74%	56%	78%	86%	74%	87%	90%	68%
Avg Max Increase		13.77%	12.77%	14.15%	19.09%	19.98%	14.64%	9.87%	11.50%	14.76%	15.30%	10.66%
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%	-0.95%
Max Decline		-7.62%	-11.73%	-10.40%	-11.13%	-5.28%	-20.62%	-20.13%	-6.26%	-12.69%	-9.64%	-4.40%
Avg Days to Max Decline		8	8	8	5	6	12	11	9	5	5	2
2013 Contract Condition		Yes										Yes
Action		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		40	40	40	40	40	40	40	40	41	41	41
Closed Lower		18	23	23	21	22	31	26	17	26	21	19
Penetrated Low		16	20	18	17	18	28	19	14	20	17	11
Scenario Percentage		89%	87%	78%	81%	82%	90%	73%	82%	77%	81%	58%
Avg Max Decline		8.78%	9.05%	7.64%	13.59%	15.34%	11.48%	10.32%	10.81%	11.68%	10.21%	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	19	24	21	16	19	18	14	12	10
Avg Max Increase		-2.44%	-2.58%	-3.92%	-4.41%	-2.32%	-4.04%	-5.13%	-5.11%	-2.90%	-2.76%	-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	15	13	10	6	11	10	9	8	2
2013 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	166.65	169.30	161.90	156.25	150.35	154.30	135.25	135.80	127.00	121.10	117.95	111.85
Low	154.00	155.95	147.50	141.75	138.55	130.60	120.50	120.30	116.10	113.50	105.25	100.95
Close/Last	156.45	159.35	152.60	146.25	140.85	132.60	123.35	121.30	116.30	113.70	105.40	110.25