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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cotton(ICE) as of Dec 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar 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   26 20 25 19 19 18 24 22 31 23 27
Exceeded High   20 16 19 15 12 14 15 19 26 17 18
Scenario Percentage   77% 80% 76% 79% 63% 78% 63% 86% 84% 74% 67%
Avg Max Increase   6.98% 11.58% 11.04% 11.67% 14.82% 12.43% 9.19% 11.46% 10.50% 8.14% 4.53%
Max Increase   27.66% 33.40% 54.34% 43.69% 47.88% 51.25% 32.10% 25.60% 45.72% 34.77% 16.96%
Avg Days To Max Increase   20 17 19 21 16 19 18 21 18 8 4
Avg Max Decline   -2.67% -2.50% -1.86% -2.06% -2.90% -2.80% -2.02% -2.44% -2.86% -3.07% -0.48%
Max Decline   -9.75% -8.56% -10.52% -6.21% -11.15% -10.44% -7.74% -6.83% -11.97% -7.71% -7.38%
Avg Days to Max Decline   16 5 7 6 6 9 9 7 13 9 1
2018 Contract Condition   Yes     Yes Yes   Yes Yes Yes    
Action   No     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 Mar 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   16 24 19 25 25 27 21 23 14 21 18
Penetrated Low   14 21 18 21 16 23 16 17 10 17 5
Scenario Percentage   88% 88% 95% 84% 64% 85% 76% 74% 71% 81% 28%
Avg Max Decline   9.37% 7.58% 9.03% 7.69% 8.83% 8.12% 6.93% 6.69% 8.84% 5.45% 3.28%
Max Decline   23.97% 26.76% 19.28% 25.15% 35.57% 36.47% 19.16% 15.31% 17.31% 16.07% 4.67%
Avg Days To Max Decline   21 19 14 18 19 19 14 19 20 14 3
Avg Max Increase   -2.80% -2.80% -1.98% -1.57% -2.11% -3.30% -2.10% -2.07% -1.87% -2.91% 0.41%
Max Increase   -11.54% -11.40% -10.21% -7.07% -5.90% -6.59% -6.33% -5.68% -9.86% -10.20% -0.83%
Avg Days to Max Increase   14 9 9 5 11 14 6 10 13 7 2
2018 Contract Condition     Yes Yes     Yes          
Action     Yes Yes     Yes          
High 75.57 74.75 74.61 73.24 69.15 70.83 74.20 69.46 73.46 76.75    
Low 72.86 72.46 72.00 66.28 65.94 66.50 67.30 66.75 68.06 72.10    
Close/Last 73.75 74.20 72.42 67.57 68.25 70.11 67.78 68.34 72.81 75.92    

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