MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		44	44	45	45	45	45	45	45	45	45	45
Closed Higher		21	22	20	18	25	29	26	22	22	21	21
Exceeded High		16	17	15	17	23	22	20	18	16	18	9
Scenario Percentage		76%	77%	75%	94%	92%	76%	77%	82%	73%	86%	43%
Avg Max Increase		15.40%	12.61%	12.29%	20.11%	19.31%	16.34%	16.88%	18.52%	20.08%	13.80%	9.54%
Max Increase		45.88%	66.98%	44.08%	95.08%	109.58%	65.17%	69.47%	116.27%	48.06%	52.06%	19.12%
Avg Days To Max Increase		19	17	19	18	18	16	17	17	15	13	15
Avg Max Decline		-1.14%	-2.59%	-3.49%	-3.30%	-2.20%	-2.64%	-3.35%	-4.21%	-4.04%	-3.04%	-3.76%
Max Decline		-6.54%	-15.43%	-12.45%	-12.32%	-7.12%	-9.82%	-9.60%	-14.06%	-9.78%	-17.28%	-13.37%
Avg Days to Max Decline		3	6	10	11	9	8	10	10	9	6	4
2008 Contract Condition			Yes	Yes		Yes			Yes	Yes	Yes
Action			Yes	No		Yes			Yes	Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		44	44	45	45	45	45	45	45	45	45	45
Closed Lower		23	21	25	27	20	16	19	23	23	24	24
Penetrated Low		20	16	16	18	15	11	12	19	19	18	15
Scenario Percentage		87%	76%	64%	67%	75%	69%	63%	83%	83%	75%	63%
Avg Max Decline		12.99%	16.77%	16.81%	11.95%	8.86%	10.15%	13.09%	14.75%	14.81%	18.48%	15.48%
Max Decline		24.63%	33.92%	34.55%	30.87%	18.31%	28.61%	24.24%	38.10%	33.24%	40.91%	32.77%
Avg Days To Max Decline		18	20	18	13	13	18	19	17	19	21	22
Avg Max Increase		-3.31%	-3.56%	-3.20%	-2.02%	-4.69%	-3.97%	-2.17%	-3.84%	-4.15%	-3.42%	-2.52%
Max Increase		-9.83%	-11.58%	-8.61%	-6.73%	-19.73%	-10.06%	-7.14%	-17.49%	-13.39%	-9.14%	-10.69%
Avg Days to Max Increase		11	9	6	10	8	10	4	9	6	5	6
2008 Contract Condition		Yes			Yes		Yes	Yes				Yes
Action		Yes			No		No	No				Yes
High	11.07	10.35	10.37	10.90	10.53	10.30	10.46	10.37	11.43	13.40	14.99	15.07
Low	10.13	9.50	9.47	9.86	9.42	9.56	9.65	9.94	9.97	10.93	12.23	11.25
Close/Last	10.21	9.98	10.17	10.42	9.80	10.19	10.08	10.05	11.12	12.86	14.62	11.69