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