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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Higher 26 25 23 21 22 20 22 19 21 21 17
Exceeded High 19 19 20 17 19 18 16 17 18 17 14
Scenario Percentage 73% 76% 87% 81% 86% 90% 73% 89% 86% 81% 82%
Avg Max Increase 14.73% 15.74% 19.84% 18.41% 13.03% 12.66% 18.87% 17.49% 15.67% 12.68% 10.37%
Max Increase 56.25% 58.71% 121.90% 60.02% 43.87% 67.91% 55.89% 65.50% 67.94% 44.66% 24.49%
Avg Days To Max Increase 18 17 17 16 15 18 19 19 16 11 14
Avg Max Decline -2.95% -2.63% -2.82% -3.19% -1.50% -4.05% -2.51% -2.79% -5.19% -3.85% -1.57%
Max Decline -7.70% -8.54% -10.66% -8.60% -14.62% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline 8 9 6 9 6 8 6 7 8 10 4
2009 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action   Yes Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 45 45 45 45 45 45 45 45 45 45 45
Closed Lower 18 20 22 24 23 25 23 26 24 23 28
Penetrated Low 14 14 19 18 18 18 19 22 19 16 25
Scenario Percentage 78% 70% 86% 75% 78% 72% 83% 85% 79% 70% 89%
Avg Max Decline 6.82% 10.37% 12.10% 13.64% 15.63% 16.30% 16.25% 16.30% 19.94% 21.81% 19.77%
Max Decline 19.66% 21.43% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 49.26%
Avg Days To Max Decline 17 16 17 19 21 21 18 19 21 24 17
Avg Max Increase -2.99% -1.41% -3.22% -2.65% -3.64% -2.69% -2.92% -3.75% -5.93% -4.37% -4.14%
Max Increase -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -9.51% -12.37%
Avg Days to Max Increase 12 7 10 5 6 6 4 8 10 9 -18
2009 Contract Condition Yes         Yes          
Action No         No          
High 14.60 13.73 13.40 13.81 14.34 14.59 14.99 16.87 18.09 18.91 24.48
Low 11.45 12.22 11.89 12.80 13.23 13.17 13.54 14.88 15.61 16.75 18.71
Close/Last 12.79 13.00 13.30 13.50 14.22 14.08 14.94 16.54 17.85 18.61 24.39

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