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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2018
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   20 20 19 18 24 20 31 23 27 24 26
Exceeded High   15 15 13 15 16 17 26 18 25 15 14
Scenario Percentage   75% 75% 68% 83% 67% 85% 84% 78% 93% 63% 54%
Avg Max Increase   10.23% 11.05% 13.00% 11.11% 7.90% 10.70% 10.78% 11.11% 9.72% 10.10% 2.81%
Max Increase   52.50% 42.15% 44.70% 47.39% 25.88% 25.51% 51.83% 34.64% 36.94% 27.61% 9.74%
Avg Days To Max Increase   16 20 16 20 16 24 20 15 21 13 5
Avg Max Decline   -1.75% -1.73% -2.94% -2.55% -1.98% -2.07% -2.72% -3.13% -3.10% -2.60% -0.75%
Max Decline   -9.69% -5.81% -13.33% -9.66% -8.93% -6.54% -11.48% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   8 6 7 8 6 7 13 11 13 6 1
2017 Contract Condition   Yes Yes   Yes Yes Yes   Yes Yes Yes Yes
Action   Yes Yes   Yes Yes Yes   Yes Yes Yes Yes
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   23 24 25 27 21 25 13 22 18 21 19
Penetrated Low   18 20 16 22 15 17 10 17 16 16 9
Scenario Percentage   78% 83% 64% 81% 71% 68% 77% 77% 89% 76% 47%
Avg Max Decline   8.74% 7.07% 8.90% 8.18% 7.27% 6.43% 8.51% 7.87% 7.72% 6.62% 5.31%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 14.18% 19.01% 26.28% 18.50% 15.08% 13.97%
Avg Days To Max Decline   14 17 21 18 15 19 21 17 19 10 6
Avg Max Increase   -1.90% -1.39% -2.10% -2.90% -1.96% -1.86% -1.60% -3.07% -3.53% -3.31% -0.81%
Max Increase   -10.38% -6.93% -5.87% -6.20% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   10 5 12 14 5 10 13 12 10 10 2
2017 Contract Condition       Yes       Yes        
Action       No       No        
High 64.55 67.24 74.74 77.28 72.67 72.32 73.32 72.57 75.82 78.45 79.46 81.20
Low 61.08 63.25 64.87 66.00 66.00 67.74 68.90 69.74 71.55 75.05 75.80 73.35
Close/Last 64.13 64.94 73.71 66.10 68.98 69.85 72.06 71.02 75.60 76.34 77.33 80.23

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