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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 Apr 30, 2011
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   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        
Action   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   22 30 20 18 16 21 22 26 27 26 23
Penetrated Low   14 19 15 12 10 18 18 19 20 22 19
Scenario Percentage   64% 63% 75% 67% 63% 86% 82% 73% 74% 85% 83%
Avg Max Decline   15.68% 12.61% 9.26% 7.23% 11.44% 13.47% 14.73% 18.58% 17.77% 15.85% 13.58%
Max Decline   32.01% 30.34% 21.05% 15.12% 22.89% 35.16% 34.36% 36.14% 38.60% 38.62% 26.75%
Avg Days To Max Decline   17 15 13 14 18 18 21 22 21 17 18
Avg Max Increase   -2.00% -2.21% -4.32% -2.93% -2.18% -3.27% -3.32% -3.79% -3.26% -3.41% -2.45%
Max Increase   -5.34% -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 8 9 4 8 7 6 8 6 3
2011 Contract Condition           Yes     Yes Yes Yes Yes
Action           No     Yes Yes Yes  
High 16.86 17.14 17.65 21.20 25.00 27.33 27.00 28.31 29.75 28.39 25.95 22.24
Low 15.50 15.54 16.15 17.31 19.27 20.22 22.45 24.46 25.01 23.37 21.75 21.45
Close/Last 15.92 16.86 17.28 19.94 24.57 22.32 26.20 28.31 27.26 25.04 22.25 21.87

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