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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Cotton(NYBOT) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
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 |
23 |
21 |
19 |
20 |
21 |
22 |
24 |
20 |
24 |
20 |
24 |
| Exceeded High |
18 |
16 |
15 |
15 |
11 |
18 |
20 |
15 |
21 |
13 |
13 |
| Scenario Percentage |
78% |
76% |
79% |
75% |
52% |
82% |
83% |
75% |
88% |
65% |
54% |
| Avg Max Increase |
8.77% |
10.57% |
8.84% |
7.11% |
8.85% |
9.89% |
8.24% |
6.95% |
10.09% |
8.69% |
2.34% |
| Max Increase |
52.50% |
42.15% |
38.49% |
21.82% |
22.01% |
25.51% |
19.05% |
21.21% |
36.94% |
27.61% |
6.56% |
| Avg Days To Max Increase |
18 |
22 |
18 |
21 |
18 |
22 |
19 |
15 |
22 |
13 |
5 |
| Avg Max Decline |
-1.44% |
-1.58% |
-2.54% |
-1.98% |
-1.32% |
-1.41% |
-2.25% |
-3.40% |
-3.22% |
-2.60% |
-0.76% |
| Max Decline |
-9.69% |
-5.81% |
-13.33% |
-9.66% |
-4.96% |
-6.54% |
-5.25% |
-9.28% |
-11.07% |
-7.60% |
-2.48% |
| Avg Days to Max Decline |
7 |
8 |
9 |
12 |
3 |
4 |
13 |
11 |
11 |
7 |
1 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
|
|
| Action |
|
Yes |
No |
|
|
Yes |
No |
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
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 |
20 |
22 |
24 |
24 |
24 |
23 |
19 |
25 |
21 |
24 |
21 |
| Penetrated Low |
16 |
20 |
17 |
19 |
16 |
17 |
15 |
19 |
18 |
16 |
11 |
| Scenario Percentage |
80% |
91% |
71% |
79% |
67% |
74% |
79% |
76% |
86% |
67% |
52% |
| Avg Max Decline |
7.46% |
5.77% |
6.70% |
6.93% |
5.71% |
6.19% |
7.75% |
7.44% |
6.88% |
5.96% |
16.23% |
| Max Decline |
19.46% |
14.63% |
26.09% |
20.84% |
19.26% |
14.18% |
19.01% |
26.28% |
18.50% |
15.08% |
38.03% |
| Avg Days To Max Decline |
16 |
16 |
19 |
19 |
13 |
19 |
17 |
18 |
21 |
12 |
11 |
| Avg Max Increase |
-2.30% |
-1.22% |
-1.73% |
-2.53% |
-1.26% |
-1.30% |
-1.40% |
-2.65% |
-3.05% |
-2.27% |
-1.86% |
| Max Increase |
-10.38% |
-4.15% |
-4.49% |
-5.96% |
-6.18% |
-4.69% |
-8.98% |
-9.54% |
-12.01% |
-7.54% |
-7.14% |
| Avg Days to Max Increase |
13 |
3 |
11 |
10 |
5 |
9 |
10 |
12 |
9 |
10 |
2 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
| Action |
Yes |
|
|
Yes |
Yes |
|
|
Yes |
Not Yet |
|
|
| High |
61.98 |
59.75 |
60.65 |
59.10 |
55.38 |
55.80 |
57.50 |
56.30 |
55.50 |
|
|
| Low |
56.95 |
55.25 |
58.20 |
55.15 |
52.75 |
52.22 |
53.86 |
53.80 |
51.50 |
|
|
| Close/Last |
57.78 |
59.20 |
59.65 |
55.20 |
54.43 |
54.75 |
56.99 |
55.11 |
53.82 |
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