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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, 2013
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   28 25 24 22 21 19 21 19 24 23 18
Exceeded High   20 19 21 18 17 18 15 17 21 19 14
Scenario Percentage   71% 76% 88% 82% 81% 95% 71% 89% 88% 83% 78%
Avg Max Increase   14.47% 15.93% 19.21% 17.00% 11.11% 12.66% 18.32% 18.63% 16.38% 13.35% 11.44%
Max Increase   56.25% 58.71% 121.90% 60.02% 40.03% 67.91% 55.89% 65.50% 67.94% 44.66% 33.32%
Avg Days To Max Increase   18 16 15 17 14 18 20 21 17 11 14
Avg Max Decline   -3.02% -2.42% -2.99% -3.64% -0.86% -4.05% -2.24% -3.06% -4.69% -4.05% -1.38%
Max Decline   -7.70% -8.54% -10.66% -8.60% -7.38% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   9 9 6 9 6 8 5 7 7 7 4
2012 Contract Condition   Yes     Yes Yes       Yes Yes  
Action   No     Yes No       Yes No  
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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   16 20 21 23 24 26 24 26 21 21 27
Penetrated Low   12 13 17 17 19 20 20 21 16 14 19
Scenario Percentage   75% 65% 81% 74% 79% 77% 83% 81% 76% 67% 70%
Avg Max Decline   5.18% 8.76% 12.19% 13.97% 16.02% 16.27% 14.56% 15.68% 19.24% 20.91% 12.75%
Max Decline   13.89% 20.90% 27.76% 33.23% 32.50% 35.94% 39.06% 29.16% 33.71% 38.65% 22.64%
Avg Days To Max Decline   16 17 18 20 22 19 16 19 20 22 21
Avg Max Increase   -3.69% -1.33% -3.29% -2.78% -3.64% -3.12% -2.70% -3.33% -5.58% -4.27% -2.30%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -12.52% -21.36% -9.51% -6.33%
Avg Days to Max Increase   13 7 11 5 6 7 4 8 8 8 6
2012 Contract Condition     Yes Yes     Yes Yes Yes     Yes
Action     Yes No     Yes Yes Yes     Yes
High 25.50 25.40 24.50 23.52 24.00 24.69 24.67 24.19 21.58 21.39 24.00 22.81
Low 22.39 22.32 22.32 22.22 22.39 22.83 22.64 21.36 19.73 19.24 21.03 19.45
Close/Last 23.36 24.21 23.07 22.83 23.03 24.41 23.87 21.53 19.78 21.01 22.64 19.78

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