MRCI's ScenarioSM Study

ScenarioSM Study for March Sugar #11(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	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		16	24	21	24	24	21	21	30	26	23	23
Exceeded High		15	18	19	21	20	19	19	23	20	18	12
Scenario Percentage		94%	75%	90%	88%	83%	90%	90%	77%	77%	78%	52%
Avg Max Increase		13.06%	17.76%	15.07%	15.06%	13.89%	16.30%	20.87%	17.81%	22.21%	18.93%	13.99%
Max Increase		60.89%	50.21%	53.74%	65.38%	45.05%	57.97%	102.45%	70.10%	90.79%	127.09%	51.19%
Avg Days To Max Increase		21	20	19	20	18	18	18	15	17	15	16
Avg Max Decline		-3.79%	-1.75%	-2.49%	-3.62%	-4.30%	-3.68%	-3.24%	-3.44%	-4.03%	-3.93%	-3.55%
Max Decline		-11.88%	-8.33%	-13.62%	-15.38%	-13.02%	-12.93%	-8.44%	-13.12%	-12.69%	-8.18%	-10.07%
Avg Days to Max Decline		9	3	6	7	9	11	7	8	11	7	3
2012 Contract Condition					Yes	Yes	Yes		Yes			Yes
Action					Yes	Yes	No		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	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		28	20	24	20	21	24	24	15	19	21	22
Penetrated Low		19	17	19	16	15	17	17	8	14	15	16
Scenario Percentage		68%	85%	79%	80%	71%	71%	71%	53%	74%	71%	73%
Avg Max Decline		13.85%	13.69%	13.52%	15.39%	17.14%	13.52%	10.32%	8.38%	11.60%	16.00%	9.92%
Max Decline		30.90%	34.91%	24.89%	28.50%	36.32%	31.31%	23.57%	18.31%	30.22%	39.09%	19.35%
Avg Days To Max Decline		17	16	18	20	18	13	14	16	15	17	17
Avg Max Increase		-2.35%	-2.36%	-2.69%	-3.75%	-2.73%	-2.75%	-5.04%	-6.07%	-2.89%	-4.03%	-3.19%
Max Increase		-10.78%	-8.81%	-10.03%	-12.28%	-6.40%	-7.77%	-20.63%	-14.50%	-8.65%	-16.35%	-9.59%
Avg Days to Max Increase		6	5	8	10	8	9	8	12	3	6	4
2012 Contract Condition		Yes	Yes	Yes				Yes		Yes	Yes
Action		Yes	Yes	No				Yes		Yes	Not Yet
High	26.80	25.88	24.69	23.25	26.42	30.14	30.60	28.96	28.35	26.18	24.25	25.21
Low	22.80	21.83	22.64	21.10	22.44	25.13	25.38	24.01	24.31	22.71	22.62	22.82
Close/Last	25.02	23.76	23.24	23.17	25.71	28.51	28.88	25.29	25.77	23.69	23.30	23.64