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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Sep 16, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   18 21 20 17 27 20 32 23 26 23 26
Exceeded High   13 17 14 15 20 16 28 19 24 15 15
Scenario Percentage   72% 81% 70% 88% 74% 80% 88% 83% 92% 65% 58%
Avg Max Increase   7.14% 8.46% 13.82% 11.45% 7.52% 9.84% 11.05% 11.28% 8.45% 9.06% 2.85%
Max Increase   19.00% 42.15% 44.70% 47.39% 25.88% 23.85% 51.83% 34.64% 18.77% 26.32% 9.74%
Avg Days To Max Increase   15 18 16 17 18 23 19 15 20 10 5
Avg Max Decline   -1.59% -1.62% -1.94% -2.03% -1.71% -1.93% -2.64% -3.33% -3.26% -2.77% -0.67%
Max Decline   -9.69% -5.81% -4.88% -5.32% -8.93% -6.54% -11.48% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   8 9 7 6 6 7 13 11 13 6 1
2022 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes Yes Yes Yes Yes   Yes Yes   Yes Yes
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   26 24 25 28 18 25 12 22 19 22 19
Penetrated Low   21 20 16 23 14 16 10 18 17 17 10
Scenario Percentage   81% 83% 64% 82% 78% 64% 83% 82% 89% 77% 53%
Avg Max Decline   8.34% 7.32% 8.32% 7.01% 6.41% 5.45% 7.80% 8.19% 7.91% 5.99% 5.38%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 11.09% 19.01% 28.56% 21.37% 15.08% 13.97%
Avg Days To Max Decline   14 19 19 16 14 18 21 17 17 9 6
Avg Max Increase   -2.21% -1.41% -2.02% -2.71% -1.99% -1.93% -2.01% -2.76% -3.53% -2.78% -0.72%
Max Increase   -10.38% -6.93% -5.87% -6.20% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   10 5 12 13 5 10 16 12 9 8 2
2022 Contract Condition             Yes     Yes    
Action             Yes     Yes    
High 85.30 87.86 89.69 94.60 103.30 111.61 116.67 112.33 123.69 125.83 141.80 155.15
Low 80.56 83.15 84.60 88.14 88.03 99.43 104.61 101.19 110.43 115.86 115.37 131.58
Close/Last 83.27 84.45 88.44 91.41 102.95 109.67 104.61 110.48 123.07 119.12 135.69 152.33

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