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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   44 44 44 45 45 45 45 45 45 45 45
Closed Higher   21 19 19 19 23 21 29 22 26 22 24
Exceeded High   16 14 14 15 13 18 25 17 24 14 14
Scenario Percentage   76% 74% 74% 79% 57% 86% 86% 77% 92% 64% 58%
Avg Max Increase   8.89% 11.64% 12.40% 11.28% 9.00% 10.62% 10.71% 10.87% 9.85% 9.95% 2.86%
Max Increase   52.50% 42.15% 44.70% 47.39% 25.88% 25.51% 51.83% 34.64% 36.94% 27.61% 9.74%
Avg Days To Max Increase   17 21 15 20 17 22 20 14 20 12 5
Avg Max Decline   -1.64% -1.67% -2.75% -2.59% -1.95% -1.77% -2.67% -3.25% -2.96% -2.52% -0.62%
Max Decline   -9.69% -5.81% -13.33% -9.66% -8.93% -6.54% -11.48% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   7 6 7 11 6 5 14 11 12 7 1
2013 Contract Condition       Yes     Yes Yes Yes Yes Yes  
Action       Yes     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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   44 44 44 45 45 45 45 45 45 45 45
Closed Lower   22 25 24 26 22 24 15 23 19 23 21
Penetrated Low   17 21 15 22 16 17 12 19 17 18 9
Scenario Percentage   77% 84% 63% 85% 73% 71% 80% 83% 89% 78% 43%
Avg Max Decline   8.30% 6.65% 9.67% 8.29% 7.00% 6.45% 8.38% 7.10% 7.76% 6.35% 5.31%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 14.18% 19.01% 26.28% 18.50% 15.08% 13.97%
Avg Days To Max Decline   15 16 20 18 15 18 19 17 20 12 6
Avg Max Increase   -2.02% -1.17% -1.72% -2.84% -1.81% -1.51% -1.53% -2.76% -3.32% -2.96% -0.81%
Max Increase   -10.38% -4.15% -4.49% -6.20% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   10 3 10 12 6 9 12 12 11 9 2
2013 Contract Condition   Yes Yes   Yes Yes           Yes
Action   No No   Yes Yes           Not Yet
High 89.18 76.82 75.06 78.69 78.90 76.85 74.55 77.60 83.49 85.97 93.93 89.70
Low 71.03 68.19 71.28 72.08 72.54 72.29 71.09 73.40 74.58 81.35 84.13 80.82
Close/Last 73.96 73.55 73.33 78.66 72.76 72.57 74.51 75.86 83.15 85.29 88.46 85.53

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