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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Orange Juice(ICE) as of May 31, 2010
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   33 39 41 42 42 42 42 42 42 42 42
Closed Higher   18 21 15 17 15 23 19 25 14 25 22
Exceeded High   14 16 10 8 12 18 14 16 11 18 10
Scenario Percentage   78% 76% 67% 47% 80% 78% 74% 64% 79% 72% 45%
Avg Max Increase   8.32% 12.16% 13.55% 10.39% 9.82% 11.53% 12.56% 10.05% 11.23% 8.29% 5.74%
Max Increase   25.83% 38.26% 28.46% 17.51% 28.55% 29.71% 34.95% 21.46% 21.34% 28.23% 15.65%
Avg Days To Max Increase   15 15 14 17 17 19 18 19 15 11 7
Avg Max Decline   -1.01% -1.54% -3.20% -2.28% -2.23% -2.92% -1.40% -4.20% -2.50% -2.17% 0.02%
Max Decline   -5.19% -9.99% -10.43% -7.24% -9.57% -11.59% -11.94% -22.29% -7.99% -10.16% -0.82%
Avg Days to Max Decline   11 11 5 6 8 14 5 13 9 6 1
2010 Contract Condition   Yes Yes Yes Yes Yes     Yes      
Action   Yes Yes Yes No 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   33 39 41 42 42 42 42 42 42 42 42
Closed Lower   15 17 25 24 27 19 22 17 28 17 19
Penetrated Low   12 12 24 16 20 17 17 14 18 11 6
Scenario Percentage   80% 71% 96% 67% 74% 89% 77% 82% 64% 65% 32%
Avg Max Decline   7.93% 11.80% 10.00% 9.03% 7.75% 8.12% 9.34% 10.33% 8.15% 8.81% 5.37%
Max Decline   17.23% 19.76% 24.45% 23.27% 16.88% 20.35% 24.10% 21.93% 12.67% 15.53% 9.72%
Avg Days To Max Decline   23 20 19 12 20 18 20 21 16 12 6
Avg Max Increase   -2.47% -2.65% -3.06% -1.91% -3.54% -2.50% -4.22% -3.08% -3.60% -3.85% -1.07%
Max Increase   -6.39% -13.40% -12.46% -4.73% -11.67% -11.00% -12.38% -21.66% -10.04% -11.22% -3.44%
Avg Days to Max Increase   13 12 11 4 10 14 14 8 12 11 2
2010 Contract Condition             Yes Yes   Yes    
Action             Yes Not Yet        
High 117.45 132.60 133.00 148.15 158.20 147.75 156.00 140.95 147.25 143.80    
Low 104.15 107.60 123.85 132.85 138.00 141.25 138.50 130.70 136.65 138.00    
Close/Last 106.90 128.10 131.95 137.10 143.40 147.55 139.30 139.25 144.00 140.30    

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