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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Cotton(NYBOT) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
24 |
21 |
22 |
22 |
25 |
21 |
25 |
23 |
26 |
26 |
25 |
| Exceeded High |
17 |
15 |
13 |
18 |
20 |
14 |
21 |
14 |
20 |
20 |
15 |
| Scenario Percentage |
71% |
71% |
59% |
82% |
80% |
67% |
84% |
61% |
77% |
77% |
60% |
| Avg Max Increase |
8.20% |
8.35% |
7.39% |
9.02% |
8.12% |
7.30% |
7.55% |
10.31% |
9.52% |
8.43% |
4.53% |
| Max Increase |
35.61% |
20.82% |
18.01% |
24.15% |
17.52% |
18.18% |
34.05% |
35.75% |
35.29% |
34.98% |
12.36% |
| Avg Days To Max Increase |
18 |
21 |
15 |
22 |
21 |
16 |
22 |
21 |
20 |
11 |
6 |
| Avg Max Decline |
-1.42% |
-2.17% |
-0.74% |
-1.46% |
-2.04% |
-2.06% |
-2.79% |
-2.23% |
-2.91% |
-1.83% |
-0.15% |
| Max Decline |
-4.46% |
-8.94% |
-5.00% |
-6.60% |
-4.85% |
-4.01% |
-10.16% |
-6.25% |
-9.31% |
-7.63% |
-2.86% |
| Avg Days to Max Decline |
7 |
12 |
5 |
6 |
12 |
8 |
13 |
8 |
10 |
5 |
1 |
| 2002 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
|
Yes |
Yes |
| Action |
|
|
|
No |
|
|
|
No |
|
Yes |
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
44 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
20 |
24 |
23 |
23 |
20 |
23 |
19 |
22 |
19 |
19 |
19 |
| Penetrated Low |
14 |
20 |
14 |
18 |
17 |
19 |
15 |
18 |
15 |
15 |
15 |
| Scenario Percentage |
70% |
83% |
61% |
78% |
85% |
83% |
79% |
82% |
79% |
79% |
79% |
| Avg Max Decline |
7.36% |
6.33% |
5.97% |
5.69% |
6.70% |
6.80% |
6.58% |
6.94% |
9.14% |
8.17% |
12.03% |
| Max Decline |
25.81% |
18.31% |
19.36% |
12.35% |
19.61% |
24.91% |
15.91% |
21.57% |
21.69% |
19.26% |
50.29% |
| Avg Days To Max Decline |
19 |
19 |
16 |
19 |
18 |
17 |
17 |
13 |
17 |
10 |
10 |
| Avg Max Increase |
-1.43% |
-2.33% |
-1.60% |
-1.42% |
-1.66% |
-2.52% |
-2.78% |
-2.07% |
-3.51% |
-1.78% |
-1.79% |
| Max Increase |
-3.85% |
-5.90% |
-6.33% |
-4.99% |
-8.15% |
-8.91% |
-10.79% |
-7.76% |
-14.94% |
-5.06% |
-10.61% |
| Avg Days to Max Increase |
13 |
10 |
7 |
8 |
13 |
12 |
10 |
9 |
13 |
9 |
2 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| High |
47.60 |
44.00 |
39.10 |
41.90 |
41.00 |
41.30 |
41.80 |
41.49 |
40.71 |
39.50 |
46.80 |
| Low |
42.60 |
39.00 |
31.90 |
33.50 |
37.40 |
38.10 |
36.50 |
37.10 |
34.30 |
32.85 |
38.30 |
| Close/Last |
43.00 |
39.05 |
33.10 |
41.55 |
38.65 |
38.38 |
37.45 |
39.64 |
34.97 |
39.47 |
46.80 |
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