MRCI's ScenarioSM Study

ScenarioSM Study for December Coffee "C"(ICE) as of Jan 01, 2015
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		41	41	41	41	41	41	41	41	42	42	42
Closed Higher		23	18	17	20	18	9	15	24	15	20	22
Exceeded High		18	14	13	14	10	7	13	18	13	18	15
Scenario Percentage		78%	78%	76%	70%	56%	78%	87%	75%	87%	90%	68%
Avg Max Increase		16.39%	13.27%	14.15%	19.09%	19.98%	14.64%	9.59%	11.53%	14.76%	15.79%	11.28%
Max Increase		60.95%	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		15	19	19	18	13	14	14	13	15	13	15
Avg Max Decline		-1.93%	-2.40%	-3.00%	-2.60%	-1.54%	-6.21%	-4.84%	-3.10%	-2.16%	-2.58%	-1.17%
Max Decline		-7.62%	-11.73%	-10.40%	-11.13%	-5.28%	-20.62%	-20.13%	-12.33%	-12.69%	-9.64%	-4.40%
Avg Days to Max Decline		8	9	8	5	6	12	10	9	5	6	4
2014 Contract Condition		Yes	Yes		Yes			Yes	Yes
Action		Yes	Yes		No			Yes	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		41	41	41	41	41	41	41	41	42	42	42
Closed Lower		18	23	24	21	23	32	26	17	27	22	20
Penetrated Low		16	20	18	17	19	29	19	14	20	19	12
Scenario Percentage		89%	87%	75%	81%	83%	91%	73%	82%	74%	86%	60%
Avg Max Decline		8.78%	9.05%	7.64%	13.59%	15.11%	11.39%	10.32%	10.81%	11.68%	10.29%	6.62%
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	20	16	19	18	14	12	11
Avg Max Increase		-2.44%	-2.58%	-3.92%	-4.41%	-2.34%	-3.90%	-5.13%	-5.11%	-2.90%	-3.04%	-1.28%
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	11	6	11	10	9	10	2
2014 Contract Condition				Yes		Yes	Yes			Yes	Yes	Yes
Action				No		Yes	Yes			No	Yes	Yes
High	127.05	133.85	186.60	214.55	222.60	213.20	188.40	200.00	211.10	209.95	225.50	199.75
Low	115.55	119.90	133.35	171.10	175.00	176.55	170.15	163.10	182.85	176.40	185.65	181.10
Close/Last	120.10	133.30	185.95	184.70	210.10	183.20	178.70	198.75	201.20	193.35	188.00	186.65