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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, 2016
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   19 20 20 19 23 20 31 23 28 23 26
Exceeded High   14 15 14 15 14 17 27 18 26 14 15
Scenario Percentage   74% 75% 70% 79% 61% 85% 87% 78% 93% 61% 58%
Avg Max Increase   9.62% 11.29% 12.40% 10.93% 8.43% 11.09% 10.50% 10.97% 9.73% 9.88% 2.60%
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   18 21 15 20 17 23 20 15 21 12 4
Avg Max Decline   -1.89% -1.64% -2.75% -2.69% -2.01% -1.88% -2.74% -3.14% -3.05% -2.52% -0.66%
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   8 6 7 11 5 5 14 11 12 7 1
2015 Contract Condition       Yes   Yes   Yes   Yes   Yes
Action       No   Yes   Yes   Yes   Not Yet
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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   24 24 24 26 22 25 13 22 17 22 19
Penetrated Low   18 20 15 22 16 17 10 17 15 15 8
Scenario Percentage   75% 83% 63% 85% 73% 68% 77% 77% 88% 68% 42%
Avg Max Decline   8.74% 6.79% 9.18% 8.18% 7.02% 6.36% 8.51% 7.41% 8.01% 6.03% 5.23%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 14.18% 19.01% 26.28% 18.50% 14.24% 13.97%
Avg Days To Max Decline   14 16 20 18 15 18 21 17 20 10 4
Avg Max Increase   -1.90% -1.28% -2.11% -2.90% -1.87% -1.66% -1.60% -2.94% -3.74% -3.02% -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 4 12 14 5 10 13 12 10 9 1
2015 Contract Condition   Yes Yes   Yes   Yes   Yes   Yes  
Action   Yes Yes   Yes   Yes   No   Not Yet  
High 83.43 79.90 75.92 69.14 68.11 64.42 64.48 63.40 61.78 66.24 65.03 68.12
Low 78.12 75.94 64.43 63.82 61.05 60.50 59.36 59.83 57.95 59.59 59.83 62.20
Close/Last 78.89 76.08 64.66 68.14 61.25 63.80 60.95 61.07 60.02 64.93 63.10 68.12

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