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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul 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 24 20 29 21 26 23 26 23 26
Exceeded High   14 17 15 16 24 16 23 15 19 16 12
Scenario Percentage   64% 85% 63% 80% 83% 76% 88% 65% 73% 70% 46%
Avg Max Increase   12.53% 11.09% 8.40% 10.00% 10.68% 10.65% 8.49% 11.64% 9.90% 10.53% 4.35%
Max Increase   38.43% 44.56% 25.54% 24.15% 55.11% 35.33% 34.05% 35.75% 35.29% 34.98% 12.36%
Avg Days To Max Increase   18 20 15 23 20 14 21 21 20 11 6
Avg Max Decline   -1.75% -2.53% -0.78% -1.89% -2.39% -1.97% -2.57% -2.19% -3.10% -2.41% -0.65%
Max Decline   -4.46% -8.94% -5.00% -6.60% -10.31% -4.01% -10.16% -6.25% -9.31% -7.63% -2.86%
Avg Days to Max Decline   7 10 3 6 13 6 12 7 10 5 1
2012 Contract Condition   Yes   Yes   Yes Yes   Yes     Yes
Action   Yes   No   Yes Yes   No     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 Jul 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 21 25 16 24 19 22 19 22 19
Penetrated Low   13 21 15 19 14 21 17 17 17 18 14
Scenario Percentage   59% 84% 71% 76% 88% 88% 89% 77% 89% 82% 74%
Avg Max Decline   10.22% 8.23% 6.99% 5.75% 7.92% 6.64% 7.37% 8.06% 11.43% 8.31% 4.85%
Max Decline   34.26% 37.42% 20.70% 12.35% 19.61% 24.91% 15.91% 21.57% 26.06% 19.26% 9.55%
Avg Days To Max Decline   21 20 16 18 18 16 19 15 15 9 5
Avg Max Increase   -1.48% -2.64% -2.08% -1.53% -1.66% -2.42% -2.63% -2.95% -3.41% -1.90% -1.34%
Max Increase   -3.85% -5.90% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -5.22% -2.89%
Avg Days to Max Increase   12 12 7 8 12 11 10 11 11 8 2
2012 Contract Condition     Yes   Yes     Yes   Yes Yes  
Action     Yes   Yes     Yes   Yes Yes  
High 104.15 101.90 108.50 101.05 100.33 92.85 99.42 99.70 95.12 94.00 89.94 89.48
Low 90.21 91.21 94.25 93.59 87.54 84.01 91.21 90.29 87.53 86.55 70.38 66.10
Close/Last 97.37 100.47 95.54 99.34 89.81 91.31 95.61 91.87 93.92 89.40 71.55 72.16

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