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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 14 24 28 28 22 20 18 19 19 21
Exceeded High   16 13 23 20 21 19 16 14 15 14 16
Scenario Percentage   76% 93% 96% 71% 75% 86% 80% 78% 79% 74% 76%
Avg Max Increase   11.42% 23.00% 18.13% 15.79% 19.14% 21.67% 20.33% 15.43% 16.34% 21.90% 15.40%
Max Increase   43.91% 89.79% 114.46% 62.10% 66.98% 125.95% 59.36% 48.22% 81.05% 68.80% 42.03%
Avg Days To Max Increase   19 22 18 16 16 16 15 14 18 16 18
Avg Max Decline   -3.80% -3.01% -2.49% -2.17% -2.43% -3.50% -3.83% -2.54% -4.73% -3.38% -0.98%
Max Decline   -13.66% -8.88% -6.65% -6.47% -8.01% -12.58% -8.70% -16.24% -13.41% -10.07% -3.89%
Avg Days to Max Decline   11 14 9 8 6 7 11 7 9 7 3
2008 Contract Condition   Yes   Yes Yes Yes Yes Yes Yes      
Action   No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 30 20 17 17 23 24 27 26 26 24
Penetrated Low   16 19 15 12 11 20 20 19 20 22 21
Scenario Percentage   67% 63% 75% 71% 65% 87% 83% 70% 77% 85% 88%
Avg Max Decline   15.66% 11.69% 8.99% 8.76% 12.05% 13.80% 14.79% 17.85% 18.10% 16.67% 13.73%
Max Decline   32.01% 30.34% 18.88% 24.72% 22.89% 35.16% 34.36% 36.14% 38.60% 38.62% 26.75%
Avg Days To Max Decline   18 13 13 16 18 17 20 21 22 17 17
Avg Max Increase   -2.76% -2.09% -4.46% -2.74% -2.14% -3.55% -3.46% -3.48% -3.32% -3.37% -2.75%
Max Increase   -9.07% -6.75% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.13% -11.82% -11.18%
Avg Days to Max Increase   4 12 9 9 4 8 7 6 9 6 3
2008 Contract Condition     Yes             Yes Yes Yes
Action     No             Yes Yes Yes
High 10.53 10.94 10.57 10.18 10.35 10.44 11.53 13.50 15.10 15.21 13.59 12.13
Low 9.66 10.04 9.50 9.63 9.63 9.97 10.17 11.11 12.38 11.60 11.71 9.82
Close/Last 10.35 10.51 9.89 10.08 10.09 10.23 11.28 13.02 14.75 12.12 11.81 10.02

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