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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Jan 01, 2010
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 22 20 22 20 27 21 24 22 26 24 25
Exceeded High 14 16 13 16 21 15 21 15 20 17 14
Scenario Percentage 64% 80% 59% 80% 78% 71% 88% 68% 77% 71% 56%
Avg Max Increase 9.58% 8.24% 7.26% 10.04% 8.84% 8.93% 8.28% 11.64% 9.92% 10.47% 4.61%
Max Increase 35.61% 20.82% 18.01% 24.15% 17.52% 32.18% 34.05% 35.75% 35.29% 34.98% 12.36%
Avg Days To Max Increase 18 21 15 23 21 14 22 21 20 12 6
Avg Max Decline -1.71% -2.21% -0.89% -1.64% -2.14% -2.09% -2.66% -2.19% -2.93% -2.26% -0.18%
Max Decline -4.46% -8.94% -5.00% -6.60% -5.65% -4.01% -10.16% -6.25% -9.31% -7.63% -2.86%
Avg Days to Max Decline 8 11 3 4 13 8 13 7 10 5 1
2009 Contract Condition         Yes Yes   Yes Yes Yes  
Action         Yes No   Yes Yes Not Yet  
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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 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 22 25 23 25 18 23 20 23 19 21 19
Penetrated Low 14 21 16 19 15 20 17 19 16 17 15
Scenario Percentage 64% 84% 70% 76% 83% 87% 85% 83% 84% 81% 79%
Avg Max Decline 9.55% 7.87% 6.74% 5.48% 7.48% 6.80% 7.10% 7.45% 10.05% 8.13% 12.27%
Max Decline 34.26% 37.42% 20.70% 12.35% 19.61% 24.91% 15.91% 21.57% 21.69% 19.26% 50.29%
Avg Days To Max Decline 20 19 15 18 17 17 18 14 15 9 9
Avg Max Increase -1.44% -2.37% -1.98% -1.35% -1.56% -2.43% -2.59% -2.73% -3.56% -1.97% -1.96%
Max Increase -3.85% -5.90% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -5.22% -10.61%
Avg Days to Max Increase 12 11 8 8 13 11 10 10 11 9 2
2009 Contract Condition Yes Yes Yes Yes     Yes       Yes
Action Yes Yes Yes No     Yes       Not Yet
High 83.15 78.88 67.29 54.73 50.71 53.10 52.23 47.44 54.45 61.67 58.88
Low 75.75 64.42 51.48 41.21 42.06 47.75 44.25 42.22 46.51 54.05 50.15
Close/Last 78.31 65.85 51.97 48.30 50.61 51.51 44.71 47.35 54.35 56.97 53.30

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