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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Nov 09, 2020
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   18 20 19 17 26 20 31 22 27 23 25
Exceeded High   13 16 13 15 18 16 27 17 25 14 14
Scenario Percentage   72% 80% 68% 88% 69% 80% 87% 77% 93% 61% 56%
Avg Max Increase   6.70% 8.38% 12.99% 10.26% 7.34% 9.41% 10.32% 10.72% 8.42% 8.46% 2.67%
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 18 18 23 19 14 20 10 4
Avg Max Decline   -1.60% -1.78% -1.94% -2.49% -1.84% -2.09% -2.73% -3.30% -3.15% -2.75% -0.75%
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   7 6 7 8 6 7 13 10 13 6 1
2020 Contract Condition         Yes Yes   Yes       Yes
Action         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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   26 25 26 28 19 25 13 23 18 22 20
Penetrated Low   21 21 16 23 14 16 11 18 16 17 9
Scenario Percentage   81% 84% 62% 82% 74% 64% 85% 78% 89% 77% 45%
Avg Max Decline   8.34% 7.22% 8.32% 7.01% 6.41% 6.13% 8.05% 8.19% 8.21% 5.84% 5.18%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 14.18% 19.01% 28.56% 21.37% 14.24% 13.97%
Avg Days To Max Decline   14 18 19 16 14 19 20 17 18 9 4
Avg Max Increase   -2.21% -1.34% -2.02% -2.71% -1.99% -1.97% -1.78% -2.76% -3.53% -2.78% -0.63%
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 13 5 11 14 12 10 8 1
2020 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes  
Action   Yes Yes No     No   Yes Yes Yes  
High 75.94 69.80 70.10 65.80 64.12 67.80 68.14 70.84 73.08 70.24 65.07 58.06
Low 67.62 66.41 63.88 58.84 59.26 61.81 64.88 65.12 68.20 60.18 48.80 48.35
Close/Last 68.69 67.45 65.52 60.28 62.45 66.87 66.39 70.18 68.31 61.49 51.13 58.06

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