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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, 2009
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   23 21 19 20 22 22 25 21 24 19 24
Exceeded High   18 16 14 15 12 18 20 16 22 13 13
Scenario Percentage   78% 76% 74% 75% 55% 82% 80% 76% 92% 68% 54%
Avg Max Increase   9.06% 10.65% 9.39% 7.22% 8.24% 10.08% 8.99% 8.59% 10.40% 8.66% 2.22%
Max Increase   52.50% 42.15% 38.49% 21.82% 22.01% 25.51% 19.05% 33.23% 36.94% 27.61% 6.09%
Avg Days To Max Increase   18 22 18 20 17 22 19 15 21 13 4
Avg Max Decline   -1.49% -1.50% -2.72% -2.10% -1.29% -1.49% -2.27% -3.33% -2.93% -2.60% -0.76%
Max Decline   -9.69% -5.81% -13.33% -9.66% -4.96% -6.54% -5.25% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   7 6 9 12 3 4 14 11 11 7 1
2008 Contract Condition   Yes Yes   Yes Yes   Yes Yes Yes    
Action   Yes No   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   44 44 44 45 45 45 45 45 45 45 45
Closed Lower   20 22 24 24 23 23 18 24 21 26 21
Penetrated Low   16 20 16 19 16 17 14 19 19 17 8
Scenario Percentage   80% 91% 67% 79% 70% 74% 78% 79% 90% 65% 38%
Avg Max Decline   7.68% 5.77% 7.06% 7.09% 5.73% 6.13% 8.11% 7.67% 7.17% 5.95% 3.98%
Max Decline   19.46% 14.63% 26.09% 20.84% 19.26% 14.18% 19.01% 26.28% 18.50% 15.08% 9.16%
Avg Days To Max Decline   15 16 20 18 13 18 17 18 21 11 5
Avg Max Increase   -2.18% -1.22% -1.78% -2.54% -1.41% -1.31% -1.42% -2.68% -2.98% -2.54% -0.59%
Max Increase   -10.38% -4.15% -4.49% -5.96% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   11 3 10 12 5 9 10 12 9 9 2
2008 Contract Condition       Yes     Yes       Yes Yes
Action       No     Yes       Yes Yes
High 60.50 67.60 72.17 68.95 71.17 71.00 71.27 69.60 74.64 82.33 92.86 78.95
Low 55.65 59.49 65.85 61.25 63.95 67.20 64.71 64.58 68.41 68.05 69.02 67.31
Close/Last 60.45 67.30 69.10 65.50 69.75 70.20 65.18 69.57 69.70 81.86 69.34 68.74

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