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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Cotton(NYBOT) as of Jul 31, 2006 |
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 |
23 |
21 |
21 |
21 |
25 |
21 |
24 |
22 |
26 |
25 |
25 |
| Exceeded High |
16 |
15 |
12 |
17 |
20 |
14 |
20 |
14 |
20 |
19 |
11 |
| Scenario Percentage |
70% |
71% |
57% |
81% |
80% |
67% |
83% |
64% |
77% |
76% |
44% |
| Avg Max Increase |
8.57% |
8.64% |
7.80% |
9.45% |
8.36% |
7.27% |
7.86% |
10.31% |
9.52% |
8.53% |
4.18% |
| 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 |
22 |
16 |
23 |
20 |
15 |
22 |
21 |
20 |
11 |
3 |
| Avg Max Decline |
-1.49% |
-2.12% |
-0.83% |
-1.55% |
-1.98% |
-2.09% |
-2.93% |
-2.23% |
-2.91% |
-1.92% |
0.32% |
| Max Decline |
-4.46% |
-8.94% |
-5.00% |
-6.60% |
-4.85% |
-4.01% |
-10.16% |
-6.25% |
-9.31% |
-7.63% |
-2.07% |
| Avg Days to Max Decline |
7 |
11 |
3 |
6 |
12 |
8 |
13 |
8 |
10 |
5 |
1 |
| 2005 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
|
|
|
Yes |
|
Yes |
Yes |
No |
|
Yes |
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 |
21 |
24 |
24 |
24 |
20 |
23 |
20 |
23 |
19 |
20 |
19 |
| Penetrated Low |
14 |
20 |
15 |
19 |
17 |
19 |
16 |
19 |
15 |
15 |
14 |
| Scenario Percentage |
67% |
83% |
63% |
79% |
85% |
83% |
80% |
83% |
79% |
75% |
74% |
| Avg Max Decline |
7.36% |
6.33% |
5.85% |
5.46% |
6.70% |
6.80% |
6.90% |
7.14% |
9.82% |
8.46% |
12.13% |
| 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 |
15 |
19 |
18 |
17 |
18 |
13 |
17 |
12 |
9 |
| Avg Max Increase |
-1.43% |
-2.33% |
-1.59% |
-1.37% |
-1.66% |
-2.52% |
-2.63% |
-2.10% |
-3.70% |
-1.92% |
-1.91% |
| Max Increase |
-3.85% |
-5.90% |
-6.33% |
-4.99% |
-8.15% |
-8.91% |
-10.79% |
-7.76% |
-14.94% |
-5.22% |
-10.61% |
| Avg Days to Max Increase |
13 |
10 |
8 |
8 |
13 |
12 |
10 |
9 |
14 |
6 |
2 |
| 2005 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
|
Yes |
|
| Action |
|
Yes |
Yes |
No |
|
No |
|
|
|
Yes |
|
| High |
57.70 |
58.10 |
52.45 |
47.90 |
46.40 |
50.30 |
52.40 |
55.95 |
57.59 |
57.48 |
52.20 |
| Low |
46.25 |
50.00 |
46.80 |
42.60 |
43.51 |
44.95 |
45.28 |
50.50 |
52.10 |
48.50 |
46.10 |
| Close/Last |
57.30 |
50.40 |
47.18 |
45.48 |
46.30 |
46.20 |
52.32 |
54.48 |
57.05 |
48.64 |
52.00 |
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