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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 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 Sep 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 26 24 22 21 19 22 19 22 22 18
Exceeded High   19 20 21 17 18 18 16 17 19 18 15
Scenario Percentage   73% 77% 88% 77% 86% 95% 73% 89% 86% 82% 83%
Avg Max Increase   14.73% 15.67% 19.10% 18.41% 12.93% 12.66% 18.87% 17.49% 16.26% 14.13% 12.19%
Max Increase   56.25% 58.71% 121.90% 60.02% 43.87% 67.91% 55.89% 65.50% 67.94% 44.66% 37.57%
Avg Days To Max Increase   18 16 16 16 14 18 19 19 16 12 15
Avg Max Decline   -2.95% -2.50% -2.72% -3.19% -1.62% -4.05% -2.51% -2.79% -5.05% -4.22% -1.46%
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 7 10 4
2011 Contract Condition   Yes   Yes Yes              
Action   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 Sep 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 19 21 23 24 26 23 26 23 22 27
Penetrated Low   14 13 18 17 19 19 19 21 18 15 21
Scenario Percentage   78% 68% 86% 74% 79% 73% 83% 81% 78% 68% 78%
Avg Max Decline   5.80% 10.12% 12.04% 13.97% 16.18% 16.35% 15.55% 16.21% 19.46% 21.53% 12.10%
Max Decline   14.59% 21.43% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   16 16 18 20 22 20 17 19 20 23 22
Avg Max Increase   -3.17% -1.22% -3.15% -2.78% -3.55% -3.06% -2.95% -3.68% -5.78% -4.63% -2.74%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -9.51% -10.36%
Avg Days to Max Increase   12 7 10 5 6 7 4 9 9 9 7
2011 Contract Condition     Yes     Yes Yes Yes Yes      
Action     No     Yes Yes Yes        
High 19.91 23.40 25.20 24.95 26.44 27.57 26.70 25.14 22.65      
Low 17.02 18.28 18.95 20.85 22.80 23.48 22.27 22.20 21.90      
Close/Last 18.83 23.02 20.78 24.46 26.42 25.79 24.16 22.65 22.32      

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