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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Oct 20, 2019
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   19 21 19 17 25 20 30 23 27 24 25
Exceeded High   14 16 13 14 17 16 26 18 25 15 15
Scenario Percentage   74% 76% 68% 82% 68% 80% 87% 78% 93% 63% 60%
Avg Max Increase   7.21% 8.38% 12.99% 10.34% 7.42% 9.41% 10.55% 10.57% 8.42% 8.40% 2.86%
Max Increase   19.00% 42.15% 44.70% 47.39% 25.88% 23.85% 51.83% 34.64% 18.77% 26.32% 9.74%
Avg Days To Max Increase   15 18 15 19 17 23 19 15 20 12 5
Avg Max Decline   -1.67% -1.78% -1.94% -2.59% -1.78% -2.09% -2.81% -3.29% -3.15% -2.69% -0.72%
Max Decline   -9.69% -5.81% -4.88% -9.66% -8.93% -6.54% -11.48% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   8 6 7 9 5 7 13 11 13 6 1
2019 Contract Condition     Yes     Yes Yes   Yes   Yes  
Action     Yes     Yes No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 24 26 28 20 25 14 22 18 21 20
Penetrated Low   20 20 17 23 15 17 11 17 15 16 10
Scenario Percentage   80% 83% 65% 82% 75% 68% 79% 77% 83% 76% 50%
Avg Max Decline   8.12% 7.07% 8.77% 7.01% 7.27% 6.43% 8.05% 6.99% 7.33% 6.03% 5.38%
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 19 16 15 19 20 17 19 10 6
Avg Max Increase   -2.12% -1.39% -2.09% -2.71% -1.96% -1.86% -1.78% -2.75% -3.38% -2.94% -0.72%
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   11 5 12 13 5 10 14 11 10 9 2
2019 Contract Condition   Yes   Yes Yes     Yes   Yes   Yes
Action   Yes   Yes Yes     Yes   No   Yes
High 93.17 94.25 89.61 89.72 84.49 82.51 83.21 82.79 76.14 75.94 77.98 79.31
Low 78.40 83.16 81.85 81.42 78.10 77.44 78.44 73.14 72.12 71.01 72.51 75.70
Close/Last 90.48 83.72 89.39 82.97 78.14 79.49 79.95 73.50 75.66 72.82 77.61 75.98

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