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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Cotton(NYBOT) as of Nov 30, 2006 |
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 |
44 |
44 |
44 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
23 |
20 |
26 |
20 |
19 |
18 |
21 |
22 |
25 |
20 |
23 |
| Exceeded High |
18 |
15 |
21 |
15 |
15 |
14 |
11 |
18 |
21 |
15 |
14 |
| Scenario Percentage |
78% |
75% |
81% |
75% |
79% |
78% |
52% |
82% |
84% |
75% |
61% |
| Avg Max Increase |
7.62% |
10.99% |
9.09% |
11.47% |
9.09% |
7.76% |
9.38% |
11.07% |
7.62% |
6.13% |
2.94% |
| 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 |
19 |
23 |
17 |
20 |
21 |
21 |
17 |
8 |
4 |
| Avg Max Decline |
-2.47% |
-1.53% |
-1.46% |
-1.95% |
-2.43% |
-2.08% |
-1.50% |
-1.90% |
-2.12% |
-2.92% |
-0.86% |
| Max Decline |
-9.75% |
-7.53% |
-10.52% |
-6.21% |
-11.15% |
-10.44% |
-4.89% |
-6.83% |
-4.69% |
-7.71% |
-5.07% |
| Avg Days to Max Decline |
13 |
4 |
8 |
9 |
7 |
9 |
6 |
8 |
12 |
8 |
1 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
|
Yes |
|
Yes |
No |
|
|
Not Yet |
|
|
|
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 |
44 |
44 |
44 |
44 |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
18 |
23 |
18 |
24 |
24 |
27 |
24 |
23 |
20 |
24 |
21 |
| Penetrated Low |
12 |
20 |
17 |
21 |
16 |
24 |
17 |
19 |
16 |
20 |
8 |
| Scenario Percentage |
67% |
87% |
94% |
88% |
67% |
89% |
71% |
83% |
80% |
83% |
38% |
| Avg Max Decline |
6.96% |
6.47% |
7.24% |
6.41% |
7.02% |
6.03% |
5.72% |
6.57% |
7.75% |
5.09% |
16.76% |
| Max Decline |
18.00% |
26.76% |
19.28% |
14.85% |
26.96% |
21.60% |
18.82% |
15.31% |
17.31% |
16.07% |
34.35% |
| Avg Days To Max Decline |
20 |
19 |
13 |
16 |
19 |
18 |
15 |
20 |
18 |
13 |
16 |
| Avg Max Increase |
-2.12% |
-1.73% |
-2.11% |
-1.25% |
-1.70% |
-2.63% |
-1.46% |
-1.54% |
-2.05% |
-2.45% |
-0.65% |
| Max Increase |
-11.54% |
-10.66% |
-10.21% |
-4.54% |
-4.84% |
-6.59% |
-6.33% |
-5.68% |
-9.86% |
-10.20% |
-2.95% |
| Avg Days to Max Increase |
11 |
9 |
9 |
3 |
10 |
13 |
8 |
9 |
10 |
8 |
2 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
| Action |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
| High |
61.00 |
59.60 |
61.65 |
59.25 |
60.35 |
58.30 |
54.05 |
54.50 |
|
|
|
| Low |
56.85 |
55.75 |
55.75 |
54.12 |
57.30 |
53.70 |
51.25 |
50.81 |
|
|
|
| Close/Last |
57.85 |
59.39 |
56.89 |
58.24 |
58.73 |
53.89 |
53.09 |
53.50 |
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