MRCI's ScenarioSM Study

ScenarioSM Study for May 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	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	26	23	20	24	30	27	23	24	21	20
Exceeded High		17	21	19	18	22	23	21	19	19	18	9
Scenario Percentage		81%	81%	83%	90%	92%	77%	78%	83%	79%	86%	45%
Avg Max Increase		15.31%	13.46%	13.41%	16.55%	19.76%	16.32%	17.06%	18.06%	17.31%	12.14%	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	19	19	17	18	16	18	15	15	14	15
Avg Max Decline		-1.30%	-3.02%	-3.87%	-3.29%	-2.51%	-3.16%	-3.53%	-4.34%	-3.85%	-3.19%	-3.76%
Max Decline		-6.54%	-15.43%	-12.45%	-12.32%	-7.12%	-14.75%	-10.23%	-14.06%	-9.78%	-14.22%	-13.37%
Avg Days to Max Decline		4	8	9	11	10	8	10	9	8	8	4
2012 Contract Condition			Yes	Yes	Yes		Yes			Yes	Yes
Action			Yes	Yes	No		No			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	25	21	15	18	22	21	24	25
Penetrated Low		18	13	13	17	16	8	11	16	17	18	19
Scenario Percentage		78%	72%	59%	68%	76%	53%	61%	73%	81%	75%	76%
Avg Max Decline		12.37%	15.52%	17.48%	12.65%	9.00%	7.22%	10.70%	14.98%	14.74%	19.98%	14.74%
Max Decline		24.63%	27.65%	34.55%	30.87%	22.20%	15.92%	24.24%	38.10%	33.24%	40.91%	32.77%
Avg Days To Max Decline		18	18	18	12	14	17	20	19	20	23	22
Avg Max Increase		-2.91%	-3.33%	-2.16%	-2.02%	-4.59%	-4.99%	-2.30%	-3.70%	-4.17%	-3.77%	-2.82%
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		12	7	5	10	7	11	4	9	6	6	6
2012 Contract Condition		Yes				Yes		Yes	Yes			Yes
Action		No				Yes		Yes	No			Yes
High	24.10	23.08	25.44	28.32	28.53	27.48	27.19	25.45	23.84	24.50	25.81	26.20
Low	22.45	21.00	22.02	24.49	24.23	23.39	23.66	22.43	22.25	22.43	22.85	23.26
Close/Last	23.08	22.74	24.99	27.01	27.41	24.60	25.16	23.33	22.95	23.09	25.01	24.71