MRCI Online
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| ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 25 | 20 | 19 | 18 | 21 | 23 | 26 | 20 | 24 |
| Exceeded High | 18 | 15 | 20 | 15 | 14 | 14 | 11 | 19 | 21 | 15 | 15 |
| Scenario Percentage | 78% | 75% | 80% | 75% | 74% | 78% | 52% | 83% | 81% | 75% | 62% |
| Avg Max Increase | 7.62% | 11.12% | 9.46% | 11.65% | 9.67% | 7.76% | 9.38% | 10.84% | 7.62% | 6.13% | 2.79% |
| 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 | 17 | 20 | 21 | 22 | 17 | 8 | 4 |
| Avg Max Decline | -2.47% | -1.49% | -1.53% | -1.95% | -2.60% | -2.08% | -1.50% | -1.89% | -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 | 8 | 7 | 9 | 6 | 8 | 12 | 8 | 1 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | No | Yes | No | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
