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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cotton(ICE) as of May 17, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 19 24 20 21 17 26 23 32 24 26
Exceeded High   20 15 18 17 13 13 19 18 28 17 16
Scenario Percentage   74% 79% 75% 85% 62% 76% 73% 78% 88% 71% 62%
Avg Max Increase   6.11% 8.38% 8.74% 8.93% 15.21% 12.92% 8.54% 10.76% 11.75% 9.46% 4.42%
Max Increase   20.21% 20.37% 28.56% 43.20% 47.88% 51.25% 32.10% 25.12% 45.72% 29.29% 16.96%
Avg Days To Max Increase   18 16 18 19 17 19 19 21 18 9 3
Avg Max Decline   -2.54% -2.76% -1.84% -1.99% -2.02% -2.31% -1.75% -2.33% -2.77% -2.80% -0.46%
Max Decline   -9.75% -8.56% -10.52% -6.21% -5.29% -5.87% -7.74% -6.83% -11.97% -7.71% -7.38%
Avg Days to Max Decline   14 5 8 9 5 7 8 7 11 8 1
2024 Contract Condition       Yes Yes Yes Yes     Yes Yes Yes
Action       Yes Yes Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   16 26 21 25 24 28 19 22 13 20 19
Penetrated Low   14 22 20 20 15 24 15 15 9 17 4
Scenario Percentage   88% 85% 95% 80% 63% 86% 79% 68% 69% 85% 21%
Avg Max Decline   8.77% 7.44% 9.24% 8.02% 8.36% 7.38% 6.41% 5.29% 7.94% 5.39% 3.11%
Max Decline   23.97% 26.76% 19.28% 25.15% 35.57% 36.47% 19.16% 10.25% 17.31% 16.07% 4.67%
Avg Days To Max Decline   22 19 15 20 17 19 13 18 19 15 3
Avg Max Increase   -2.96% -2.94% -2.17% -1.70% -2.14% -3.45% -2.15% -2.27% -2.31% -2.55% 0.51%
Max Increase   -11.54% -11.40% -10.21% -7.07% -5.90% -6.59% -6.33% -5.68% -9.86% -10.20% -0.83%
Avg Days to Max Increase   15 9 9 5 12 14 6 11 17 7 1
2024 Contract Condition   Yes Yes         Yes Yes      
Action   Yes Yes         Yes No      
High 85.44 84.33 83.90 82.24 88.30 88.55 90.29 89.75 83.72 83.13 85.86 107.25
Low 77.47 78.76 78.59 77.01 79.09 83.42 85.29 83.49 77.66 78.31 79.59 84.80
Close/Last 83.20 81.14 79.56 80.25 84.75 87.73 87.92 83.51 80.06 81.00 85.17 101.56

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