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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May 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   22 21 17 19 22 22 27 20 25 20 25
Exceeded High   17 16 12 14 13 18 22 15 23 14 14
Scenario Percentage   77% 76% 71% 74% 59% 82% 81% 75% 92% 70% 56%
Avg Max Increase   9.51% 11.05% 10.63% 8.71% 8.14% 10.12% 8.82% 9.14% 10.09% 9.88% 2.73%
Max Increase   52.50% 42.15% 38.49% 21.82% 22.01% 25.51% 19.05% 33.23% 36.94% 27.61% 9.74%
Avg Days To Max Increase   18 21 17 21 18 21 19 15 22 12 4
Avg Max Decline   -1.55% -1.47% -3.13% -2.39% -1.29% -1.58% -2.85% -3.49% -3.03% -2.52% -0.62%
Max Decline   -9.69% -5.81% -13.33% -9.66% -4.96% -6.54% -11.48% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   7 6 9 11 4 5 15 11 12 7 1
2010 Contract Condition     Yes   Yes Yes Yes Yes   Yes   Yes
Action     Yes   Yes Yes Yes Yes   Yes   Not Yet
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month May 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   21 22 26 25 23 23 17 25 20 25 20
Penetrated Low   16 21 17 20 17 16 14 20 18 17 7
Scenario Percentage   76% 95% 65% 80% 74% 70% 82% 80% 90% 68% 35%
Avg Max Decline   7.68% 6.65% 8.70% 8.58% 6.57% 6.43% 8.11% 7.49% 7.62% 5.81% 3.99%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 14.18% 19.01% 26.28% 18.50% 14.24% 6.95%
Avg Days To Max Decline   15 16 21 18 13 18 17 17 21 11 4
Avg Max Increase   -2.18% -1.17% -1.71% -2.54% -1.64% -1.38% -1.42% -2.66% -3.16% -2.69% -0.71%
Max Increase   -10.38% -4.15% -4.49% -5.96% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   11 3 10 11 5 10 10 11 9 8 1
2010 Contract Condition   Yes   Yes         Yes   Yes  
Action   No   No         Yes   Yes  
High 65.53 65.64 68.02 68.85 68.39 72.45 76.66 77.37 77.83 82.58 84.60 85.10
Low 60.90 58.75 62.20 61.16 62.00 64.40 71.41 74.26 70.38 67.80 78.70 78.00
Close/Last 64.00 60.92 63.45 63.44 66.27 72.32 75.85 76.59 70.63 82.46 80.55 82.76

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