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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Sugar #11(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 24 21 20 21 19 22 29 26 23 21
Exceeded High   15 18 18 17 16 18 20 22 20 18 9
Scenario Percentage   88% 75% 86% 85% 76% 95% 91% 76% 77% 78% 43%
Avg Max Increase   19.52% 19.92% 15.03% 13.65% 12.28% 19.49% 20.27% 17.74% 22.21% 19.11% 17.22%
Max Increase   113.69% 60.55% 53.74% 65.38% 45.05% 97.05% 102.45% 70.10% 90.79% 127.09% 51.19%
Avg Days To Max Increase   20 20 18 18 18 19 18 14 17 17 16
Avg Max Decline   -3.41% -1.94% -2.42% -3.34% -3.90% -3.74% -2.93% -3.00% -4.03% -3.89% -3.68%
Max Decline   -11.88% -8.33% -13.62% -15.38% -13.02% -12.93% -8.44% -10.60% -12.69% -8.18% -10.07%
Avg Days to Max Decline   9 3 6 6 9 11 7 8 11 7 4
2008 Contract Condition         Yes Yes   Yes     Yes Yes
Action         Yes No   Yes     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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 20 24 24 24 26 23 16 19 21 24
Penetrated Low   19 17 21 20 18 18 16 11 14 17 18
Scenario Percentage   70% 85% 88% 83% 75% 69% 70% 69% 74% 81% 75%
Avg Max Decline   14.76% 14.64% 13.91% 16.74% 16.90% 12.67% 10.13% 11.46% 13.86% 15.69% 10.05%
Max Decline   30.90% 34.91% 24.89% 35.14% 36.32% 31.31% 19.78% 32.02% 30.22% 39.09% 19.35%
Avg Days To Max Decline   19 16 18 21 19 14 14 18 15 16 16
Avg Max Increase   -1.95% -2.72% -3.19% -4.28% -3.70% -2.70% -4.91% -4.65% -2.88% -4.12% -2.97%
Max Increase   -9.30% -8.81% -10.03% -12.28% -10.79% -7.77% -20.63% -14.50% -8.65% -16.35% -9.59%
Avg Days to Max Increase   5 5 8 11 8 9 9 10 3 7 4
2008 Contract Condition   Yes Yes Yes     Yes   Yes Yes    
Action   Yes Yes Yes     No   No No    
High 11.43 11.91 10.99 10.23 10.28 10.85 10.55 10.31 10.50 10.22 11.19 13.09
Low 10.83 10.90 10.03 9.39 9.22 9.66 9.35 9.46 9.59 9.63 9.66 10.62
Close/Last 11.31 11.01 10.09 9.87 10.00 10.42 9.78 10.15 9.98 9.75 10.82 12.36

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