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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 44 44 44 44 45 45 45 45 45 45
Closed Higher   25 22 24 18 19 18 23 21 29 22 26
Exceeded High   19 17 18 14 13 14 13 18 25 16 18
Scenario Percentage   76% 77% 75% 78% 68% 78% 57% 86% 86% 73% 69%
Avg Max Increase   7.84% 10.57% 10.30% 12.09% 14.01% 12.44% 9.96% 11.93% 10.30% 7.68% 3.74%
Max Increase   27.66% 33.40% 54.34% 43.69% 47.88% 51.25% 32.10% 25.60% 45.72% 29.29% 16.96%
Avg Days To Max Increase   21 17 20 21 16 19 19 21 18 7 3
Avg Max Decline   -2.55% -2.33% -1.90% -2.04% -2.72% -2.60% -2.03% -2.32% -2.80% -3.08% -0.52%
Max Decline   -9.75% -8.56% -10.52% -6.21% -11.15% -10.44% -7.74% -6.83% -11.97% -7.71% -7.38%
Avg Days to Max Decline   14 5 8 6 5 8 8 6 13 8 1
2013 Contract Condition       Yes   Yes     Yes Yes Yes Yes
Action       Yes   No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   44 44 44 44 44 45 45 45 45 45 45
Closed Lower   17 22 20 26 25 27 22 24 16 22 19
Penetrated Low   14 19 18 21 15 24 17 18 12 19 5
Scenario Percentage   82% 86% 90% 81% 60% 89% 77% 75% 75% 86% 26%
Avg Max Decline   9.10% 7.29% 8.23% 7.61% 9.64% 7.99% 6.71% 6.91% 8.79% 4.96% 3.05%
Max Decline   23.97% 26.76% 19.28% 25.15% 35.57% 36.47% 19.16% 15.31% 17.31% 16.07% 4.67%
Avg Days To Max Decline   20 17 14 18 19 19 14 19 19 14 4
Avg Max Increase   -2.70% -2.40% -2.07% -1.26% -1.67% -3.22% -1.95% -1.70% -1.77% -2.61% 0.42%
Max Increase   -11.54% -11.40% -10.21% -4.54% -4.84% -6.59% -6.33% -5.68% -9.86% -10.20% -0.77%
Avg Days to Max Increase   11 9 9 3 10 14 6 8 12 8 2
2013 Contract Condition   Yes Yes   Yes   Yes Yes        
Action   Yes Yes   No   Yes Yes        
High 94.20 91.54 88.13 76.10 74.30 78.02 78.00 76.39 73.98 77.10 84.00 84.36
Low 88.65 87.00 69.37 66.85 70.34 71.22 71.50 71.10 69.79 72.43 73.72 80.05
Close/Last 91.62 87.93 72.42 72.51 72.28 77.98 71.68 71.39 73.91 75.14 82.95 83.56

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