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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Sugar #11(ICE) as of Dec 30, 2011
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 25 23 19 24 29 27 23 24 21 20
Exceeded High   17 20 18 18 22 23 21 19 19 18 9
Scenario Percentage   81% 80% 78% 95% 92% 79% 78% 83% 79% 86% 45%
Avg Max Increase   15.31% 13.42% 13.85% 16.55% 19.76% 16.32% 17.06% 18.06% 17.63% 12.76% 9.54%
Max Increase   45.88% 66.98% 44.08% 65.74% 109.58% 65.17% 69.47% 116.27% 48.06% 52.06% 19.12%
Avg Days To Max Increase   19 18 19 17 18 16 18 15 14 13 15
Avg Max Decline   -1.30% -3.01% -3.51% -3.29% -2.51% -3.16% -3.53% -4.34% -3.67% -3.69% -3.76%
Max Decline   -6.54% -15.43% -12.45% -12.32% -7.12% -14.75% -10.23% -14.06% -9.78% -17.28% -13.37%
Avg Days to Max Decline   4 7 9 11 10 8 10 9 8 8 4
2011 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes    
Action     Yes Yes Yes Yes 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 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 18 22 26 21 16 18 22 21 24 25
Penetrated Low   19 13 13 18 16 9 11 17 17 18 18
Scenario Percentage   83% 72% 59% 69% 76% 56% 61% 77% 81% 75% 72%
Avg Max Decline   11.92% 15.52% 17.48% 12.90% 9.56% 8.30% 12.28% 14.53% 14.74% 19.23% 14.03%
Max Decline   24.63% 27.65% 34.55% 30.87% 22.20% 16.87% 24.24% 38.10% 33.24% 38.35% 26.37%
Avg Days To Max Decline   17 18 18 13 13 18 19 18 20 22 22
Avg Max Increase   -3.10% -3.33% -2.16% -2.17% -4.27% -4.70% -2.21% -3.53% -4.17% -3.77% -2.95%
Max Increase   -9.83% -11.58% -6.05% -6.73% -19.73% -10.06% -7.14% -17.49% -13.39% -9.14% -10.69%
Avg Days to Max Increase   11 7 5 10 7 12 4 9 6 6 6
2011 Contract Condition   Yes           Yes     Yes Yes
Action   No           No     Yes Yes
High 18.20 16.46 16.85 17.79 18.67 23.36 27.37 30.49 31.08 31.54 33.11 31.05
Low 15.46 14.50 15.45 15.83 16.80 18.24 20.96 22.89 25.12 27.06 26.90 25.47
Close/Last 16.47 15.67 16.20 17.68 18.26 21.78 26.85 24.99 29.32 31.49 29.45 27.11

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