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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Sep 16, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 17 27 21 31 22 25 25 27 21 24
Exceeded High   15 15 19 17 26 19 22 16 20 15 8
Scenario Percentage   65% 88% 70% 81% 84% 86% 88% 64% 74% 71% 33%
Avg Max Increase   12.43% 11.39% 7.51% 8.88% 11.40% 11.14% 6.95% 10.65% 8.51% 8.36% 2.17%
Max Increase   38.43% 44.56% 25.54% 22.09% 55.11% 35.33% 16.56% 35.75% 22.13% 19.49% 7.68%
Avg Days To Max Increase   17 18 18 23 19 15 20 20 15 10 3
Avg Max Decline   -1.75% -1.88% -1.03% -1.71% -2.26% -2.16% -2.64% -2.27% -3.13% -2.50% -0.75%
Max Decline   -4.46% -4.87% -5.00% -6.60% -10.31% -6.34% -10.16% -6.25% -9.31% -7.63% -2.10%
Avg Days to Max Decline   7 6 5 7 12 8 11 6 9 4 1
2022 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes    
Action   Yes Yes Yes   Yes Yes   Yes Yes    
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 28 18 24 14 23 20 20 18 24 21
Penetrated Low   15 23 14 16 12 20 17 16 16 19 11
Scenario Percentage   68% 82% 78% 67% 86% 87% 85% 80% 89% 79% 52%
Avg Max Decline   8.07% 6.86% 6.16% 4.95% 7.34% 7.74% 7.43% 7.25% 12.27% 9.71% 3.94%
Max Decline   34.26% 37.42% 20.70% 9.00% 19.61% 29.40% 22.68% 15.32% 26.06% 31.87% 8.90%
Avg Days To Max Decline   16 18 15 17 19 17 16 13 16 11 4
Avg Max Increase   -1.52% -2.54% -2.15% -1.62% -2.02% -2.38% -2.72% -2.71% -3.40% -2.49% -1.03%
Max Increase   -3.85% -5.90% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -6.27% -4.87%
Avg Days to Max Increase   10 13 7 10 16 11 9 10 11 6 2
2022 Contract Condition         Yes     Yes     Yes Yes
Action         Yes     Yes     Yes Yes
High 88.42 92.94 100.48 109.09 112.65 108.96 120.40 122.55 137.99 151.10 155.95 147.70
Low 83.77 86.99 86.79 96.85 102.00 99.22 108.36 113.21 112.07 130.25 138.65 100.00
Close/Last 87.25 90.02 100.10 107.74 102.16 107.88 119.66 115.82 132.07 145.63 138.98 103.94

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