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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Copper(CMX) 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 43 43 44 45 45 45 45 45 45 45 45
Closed Higher 19 32 22 23 19 21 24 27 25 32 20
Exceeded High 18 22 18 16 16 19 23 25 22 23 11
Scenario Percentage 95% 69% 82% 70% 84% 90% 96% 93% 88% 72% 55%
Avg Max Increase 7.84% 8.96% 10.62% 13.10% 8.94% 10.69% 11.76% 15.26% 14.90% 12.51% 8.02%
Max Increase 19.48% 35.14% 31.77% 34.02% 18.99% 37.37% 41.67% 42.84% 52.49% 68.90% 24.72%
Avg Days To Max Increase 18 20 15 18 17 18 18 19 14 14 11
Avg Max Decline -0.66% -2.32% -2.03% -2.37% -2.55% -3.64% -2.21% -3.30% -2.48% -2.91% -1.46%
Max Decline -2.48% -14.38% -10.07% -8.34% -14.19% -9.98% -8.55% -11.06% -10.75% -8.66% -5.67%
Avg Days to Max Decline 5 10 11 9 9 8 8 9 6 7 3
2009 Contract Condition Yes             Yes Yes Yes Yes
Action 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 43 43 44 45 45 45 45 45 45 45 45
Closed Lower 24 11 21 22 25 24 21 18 20 13 25
Penetrated Low 15 9 14 19 18 18 14 9 13 10 20
Scenario Percentage 62% 82% 67% 86% 72% 75% 67% 50% 65% 77% 80%
Avg Max Decline 5.70% 10.59% 13.31% 9.36% 9.19% 10.11% 7.09% 8.06% 8.81% 7.72% 15.42%
Max Decline 16.44% 25.66% 50.39% 46.68% 31.11% 23.48% 16.91% 12.64% 32.96% 29.02% 53.07%
Avg Days To Max Decline 17 25 22 18 14 16 19 10 16 19 12
Avg Max Increase -1.55% -0.87% -1.56% -1.79% -1.79% -2.24% -1.71% -1.37% -2.68% -3.96% -2.89%
Max Increase -7.97% -7.59% -8.76% -4.73% -8.81% -9.98% -5.61% -6.04% -8.44% -8.96% -10.77%
Avg Days to Max Increase 12 13 8 7 3 9 10 8 9 16 9
2009 Contract Condition   Yes Yes Yes Yes Yes Yes        
Action   Yes Yes Yes Yes Yes No        
High 379.50 395.25 352.40 331.00 285.50 200.75 168.30 164.15 166.50 189.70 223.50
Low 347.00 348.50 319.75 284.90 166.70 154.00 127.10 138.50 141.35 150.60 179.60
Close/Last 379.50 359.00 336.00 288.80 184.50 166.10 142.05 148.30 153.85 184.45 205.30

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