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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 Jun 01, 2011
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 23 14 24 27 29 24 22 19 18 19 22
Exceeded High 17 13 22 20 22 21 18 15 15 15 17
Scenario Percentage 74% 93% 92% 74% 76% 88% 82% 79% 83% 79% 77%
Avg Max Increase 12.06% 16.15% 17.05% 15.79% 18.58% 20.53% 18.55% 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 18 20 18 16 17 16 14 15 18 17 18
Avg Max Decline -3.57% -3.21% -2.75% -2.17% -2.75% -3.36% -3.67% -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 14 10 8 6 7 12 9 9 6 3
2011 Contract Condition Yes Yes Yes Yes   Yes Yes       Yes
Action Yes Yes Yes Yes   Yes Yes       Not Yet
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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 22 30 20 18 16 21 22 26 27 26 23
Penetrated Low 14 19 15 12 10 18 18 19 20 22 21
Scenario Percentage 64% 63% 75% 67% 62% 86% 82% 73% 74% 85% 91%
Avg Max Decline 15.68% 12.61% 9.26% 7.23% 11.44% 13.47% 14.73% 18.58% 17.77% 15.85% 23.58%
Max Decline 32.01% 30.34% 21.05% 15.12% 22.89% 35.16% 34.36% 36.14% 38.60% 38.62% 53.62%
Avg Days To Max Decline 17 15 13 14 18 18 21 22 21 17 14
Avg Max Increase -2.00% -2.21% -4.32% -2.93% -2.18% -3.27% -3.32% -3.79% -3.26% -3.41% -4.28%
Max Increase -5.34% -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 12 8 9 4 8 7 6 8 6 8
2011 Contract Condition         Yes     Yes Yes Yes  
Action         No     Yes Yes Yes  
High 17.14 17.65 21.20 25.00 27.33 27.00 28.31 29.75 28.39 25.95 23.37
Low 15.54 16.15 17.31 19.27 20.22 22.45 24.46 25.01 23.37 21.75 20.40
Close/Last 16.86 17.28 19.94 24.57 22.32 26.20 28.31 27.26 25.04 22.25 23.18

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Newsflash

Crude oil, gasoline, heating oil, natural gas --- Buy 'em?  Sell 'em?  When?

From crude oil at an all-time high above $145/barrel --- collapsing down to $35. A run back up to almost $115, a three-year churn, and a plunge from $107 to barely $42 in only nine months. Sellers above $60 eventually drove prices down to barely $26! Major producers are trying to support prices, currently in a range of $40-55. Can seasonal influences be muted for long?

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