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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month 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 22 13 23 27 29 23 21 19 19 19 22
Exceeded High 16 12 22 20 22 20 17 15 15 15 17
Scenario Percentage 73% 92% 96% 74% 76% 87% 81% 79% 79% 79% 77%
Avg Max Increase 11.42% 17.43% 17.05% 15.79% 18.58% 21.12% 19.56% 14.66% 16.34% 21.67% 15.03%
Max Increase 43.91% 72.39% 114.46% 62.10% 66.98% 125.95% 59.36% 48.22% 81.05% 68.80% 42.03%
Avg Days To Max Increase 19 21 18 16 17 16 15 15 18 17 18
Avg Max Decline -3.80% -3.20% -2.75% -2.17% -2.75% -3.51% -3.78% -2.92% -4.73% -3.20% -1.25%
Max Decline -13.66% -8.88% -6.65% -6.47% -9.56% -12.58% -8.70% -16.24% -13.41% -10.07% -5.65%
Avg Days to Max Decline 11 15 10 8 6 7 12 9 9 6 3
2009 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 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 23 31 21 18 16 22 23 26 26 26 23
Penetrated Low 15 20 16 12 11 19 19 18 19 22 22
Scenario Percentage 65% 65% 76% 67% 69% 86% 83% 69% 73% 85% 96%
Avg Max Decline 15.59% 12.39% 9.74% 8.76% 12.05% 13.55% 14.45% 17.78% 17.59% 16.67% 23.25%
Max Decline 32.01% 30.34% 21.05% 24.72% 22.89% 35.16% 34.36% 36.14% 38.60% 38.62% 53.62%
Avg Days To Max Decline 17 14 14 16 18 18 20 21 22 17 14
Avg Max Increase -2.47% -2.06% -4.33% -2.74% -2.14% -3.40% -3.11% -3.89% -3.00% -3.37% -4.24%
Max Increase -9.07% -6.75% -19.74% -9.93% -7.68% -18.49% -11.91% -10.94% -12.13% -11.82% -29.83%
Avg Days to Max Increase 4 11 8 9 4 8 7 7 8 6 7
2009 Contract Condition   Yes Yes Yes         Yes    
Action   Yes Yes No         No    
High 15.99 15.90 15.07 14.30 13.36 12.83 13.42 14.00 14.09 14.40 16.05
Low 13.63 14.35 13.65 11.03 11.76 11.35 12.20 12.85 12.74 12.74 14.27
Close/Last 15.23 14.84 13.97 12.42 12.55 12.66 13.14 13.87 13.33 14.36 15.58

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