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