MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(NYBOT) as of Dec 31, 2004
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	43	43	43	43	43	44	44	44	44	44	44
Closed Higher	23	21	26	20	19	18	22	22	25	20	22
Exceeded High	19	16	21	15	15	14	12	18	20	15	15
Scenario Percentage	83%	76%	81%	75%	79%	78%	55%	82%	80%	75%	68%
Avg Max Increase	7.30%	10.37%	9.07%	11.47%	9.03%	7.35%	8.77%	10.72%	7.68%	6.26%	2.96%
Max Increase	27.66%	33.40%	54.34%	43.69%	40.16%	23.61%	24.63%	25.60%	22.27%	22.68%	8.43%
Avg Days To Max Increase	21	19	20	23	18	20	20	21	17	9	6
Avg Max Decline	-2.34%	-1.44%	-1.41%	-1.95%	-2.37%	-2.06%	-1.37%	-1.51%	-2.24%	-3.03%	-0.50%
Max Decline	-9.75%	-7.53%	-10.52%	-6.21%	-11.15%	-10.44%	-4.89%	-5.98%	-4.69%	-7.71%	-2.60%
Avg Days to Max Decline	13	4	8	9	8	9	8	7	12	8	1
2005 Contract Condition					Yes			Yes
Action					Yes			Not Yet

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Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	43	43	43	43	43	44	44	44	44	44	44
Closed Lower	17	21	17	22	23	26	22	22	19	23	21
Penetrated Low	11	18	16	19	16	23	15	18	16	20	9
Scenario Percentage	65%	86%	94%	86%	70%	88%	68%	82%	84%	87%	43%
Avg Max Decline	5.96%	5.51%	6.61%	6.44%	7.02%	5.69%	5.67%	6.84%	7.75%	5.33%	15.81%
Max Decline	17.67%	14.06%	19.28%	14.85%	26.96%	21.60%	18.82%	15.31%	17.31%	16.07%	34.35%
Avg Days To Max Decline	19	18	14	17	19	18	17	21	18	14	16
Avg Max Increase	-1.98%	-1.33%	-2.15%	-1.06%	-1.70%	-2.57%	-1.48%	-1.59%	-2.05%	-2.86%	-0.85%
Max Increase	-11.54%	-7.72%	-10.21%	-4.24%	-4.84%	-6.59%	-6.33%	-5.68%	-9.86%	-10.20%	-2.95%
Avg Days to Max Increase	11	8	10	3	10	14	9	9	10	10	4
2005 Contract Condition	Yes	Yes	Yes	Yes		Yes	Yes		Yes	Yes
Action	Yes	Yes	Yes	Yes		Yes	Yes		Not Yet
High	69.60	66.20	61.10	54.00	55.95	56.50	50.50	45.00	44.95	44.90
Low	61.70	60.28	52.40	44.75	44.00	48.05	44.10	41.80	41.72	43.90
Close/Last	63.90	61.10	53.27	45.77	55.50	48.52	44.57	44.78	44.77	44.12