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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Orange Juice(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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 34 41 41 41 41 42 42 42 42 42 42
Closed Higher 15 25 14 23 23 24 21 24 13 19 18
Exceeded High 11 16 13 16 17 18 17 17 8 8 11
Scenario Percentage 73% 64% 93% 70% 74% 75% 81% 71% 62% 42% 61%
Avg Max Increase 12.98% 7.30% 8.04% 7.40% 13.01% 16.67% 12.43% 15.52% 15.35% 10.41% 6.76%
Max Increase 30.21% 18.72% 20.22% 19.13% 43.56% 45.04% 44.58% 62.09% 29.02% 20.09% 20.40%
Avg Days To Max Increase 16 15 17 17 18 15 16 15 13 12 7
Avg Max Decline -0.23% -2.32% -1.75% -1.63% -3.36% -1.47% -2.01% -2.87% -1.82% -2.85% -0.63%
Max Decline -2.42% -8.55% -8.24% -7.72% -17.82% -7.14% -10.21% -11.88% -9.60% -9.84% -3.61%
Avg Days to Max Decline 5 8 8 10 17 3 11 15 3 5 2
2009 Contract Condition Yes   Yes   Yes         Yes  
Action No   Yes   No         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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 34 41 41 41 41 42 42 42 42 42 42
Closed Lower 19 16 27 18 18 18 21 18 29 23 24
Penetrated Low 13 12 19 11 13 14 17 14 27 15 13
Scenario Percentage 68% 75% 70% 61% 72% 78% 81% 78% 93% 65% 54%
Avg Max Decline 7.63% 9.29% 7.51% 9.01% 9.57% 9.13% 10.51% 14.85% 10.49% 8.07% 12.35%
Max Decline 20.54% 19.44% 13.02% 20.45% 24.51% 18.78% 22.68% 23.98% 28.00% 20.58% 37.15%
Avg Days To Max Decline 21 20 15 14 17 17 25 19 18 8 12
Avg Max Increase -3.63% -2.07% -2.38% -2.48% -2.89% -1.36% -4.34% -3.87% -4.04% -2.48% -1.93%
Max Increase -9.11% -15.27% -6.18% -6.44% -8.41% -5.01% -15.28% -17.08% -23.52% -5.74% -3.39%
Avg Days to Max Increase 15 8 12 11 13 4 20 9 11 4 3
2009 Contract Condition   Yes   Yes   Yes Yes Yes Yes   Yes
Action   Yes   Yes   Yes Yes Yes Yes   Not Yet
High 136.40 134.55 133.00 140.80 125.20 121.95 96.85 91.00 81.90 78.95 76.20
Low 125.80 118.50 119.75 117.45 107.90 93.75 82.00 78.50 67.10 68.10 64.60
Close/Last 132.20 122.15 132.00 117.85 119.55 96.65 84.45 78.80 67.90 72.50 69.55

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