|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Cotton(ICE) as of Jan 07, 2009 |
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 |
22 |
22 |
25 |
21 |
24 |
19 |
24 |
| Exceeded High |
18 |
16 |
14 |
14 |
12 |
18 |
20 |
16 |
22 |
13 |
13 |
| Scenario Percentage |
78% |
76% |
74% |
70% |
55% |
82% |
80% |
76% |
92% |
68% |
54% |
| Avg Max Increase |
9.04% |
10.65% |
9.39% |
7.58% |
8.22% |
10.08% |
8.99% |
8.59% |
10.40% |
8.66% |
2.22% |
| Max Increase |
52.50% |
42.15% |
38.49% |
21.82% |
22.01% |
25.51% |
19.05% |
33.23% |
36.94% |
27.61% |
6.09% |
| Avg Days To Max Increase |
17 |
22 |
18 |
21 |
17 |
22 |
19 |
15 |
21 |
13 |
4 |
| Avg Max Decline |
-1.47% |
-1.50% |
-2.72% |
-1.99% |
-1.29% |
-1.49% |
-2.27% |
-3.33% |
-2.93% |
-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 |
6 |
9 |
12 |
3 |
4 |
14 |
11 |
11 |
7 |
1 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
| Action |
Yes |
No |
|
No |
Yes |
|
Yes |
Yes |
Yes |
|
|
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 |
23 |
23 |
18 |
24 |
21 |
26 |
21 |
| Penetrated Low |
16 |
20 |
16 |
19 |
16 |
17 |
14 |
19 |
19 |
17 |
13 |
| Scenario Percentage |
80% |
91% |
67% |
79% |
70% |
74% |
78% |
79% |
90% |
65% |
62% |
| Avg Max Decline |
7.68% |
5.77% |
7.06% |
7.09% |
5.73% |
6.12% |
8.11% |
7.66% |
7.16% |
5.92% |
15.22% |
| 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 |
15 |
16 |
20 |
18 |
13 |
18 |
17 |
18 |
22 |
11 |
11 |
| Avg Max Increase |
-2.18% |
-1.22% |
-1.78% |
-2.54% |
-1.41% |
-1.31% |
-1.42% |
-2.68% |
-2.98% |
-2.53% |
-1.38% |
| Max Increase |
-10.38% |
-4.15% |
-4.49% |
-5.96% |
-6.18% |
-4.69% |
-8.98% |
-9.54% |
-12.01% |
-13.86% |
-7.14% |
| Avg Days to Max Increase |
11 |
3 |
10 |
12 |
5 |
9 |
10 |
12 |
9 |
9 |
2 |
| 2008 Contract Condition |
|
|
Yes |
|
|
Yes |
|
|
|
Yes |
Yes |
| Action |
|
|
No |
|
|
Yes |
|
|
|
Yes |
Yes |
| High |
67.30 |
71.85 |
68.95 |
71.17 |
71.00 |
71.10 |
69.60 |
74.64 |
82.33 |
92.86 |
78.95 |
| Low |
59.62 |
65.90 |
61.30 |
64.00 |
67.50 |
64.85 |
64.65 |
68.41 |
68.05 |
69.02 |
67.31 |
| Close/Last |
67.30 |
69.10 |
65.50 |
69.75 |
70.20 |
65.18 |
69.57 |
69.70 |
81.86 |
69.34 |
68.74 |
|
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