MRCI's ScenarioSM Study

ScenarioSM Study for October Cotton(NYBOT) as of Apr 30, 2006
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	45	45	45	45	45	45	45	45	45	45	45
Closed Higher	23	27	24	24	23	25	22	25	18	19	18
Exceeded High	20	21	19	19	17	19	16	18	14	13	10
Scenario Percentage	87%	78%	79%	79%	74%	76%	73%	72%	78%	68%	56%
Avg Max Increase	7.20%	7.29%	7.56%	6.65%	9.03%	8.31%	11.41%	8.89%	9.54%	8.58%	2.39%
Max Increase	23.70%	14.32%	18.96%	31.32%	34.36%	34.82%	36.97%	63.47%	56.45%	35.35%	4.27%
Avg Days To Max Increase	21	20	17	21	19	19	16	16	19	13	5
Avg Max Decline	-1.05%	-1.70%	-1.35%	-1.66%	-1.64%	-2.70%	-1.62%	-1.26%	-2.03%	-3.24%	-0.24%
Max Decline	-3.41%	-10.06%	-3.19%	-6.26%	-8.64%	-10.73%	-7.03%	-6.17%	-5.63%	-8.58%	-1.81%
Avg Days to Max Decline	9	10	8	8	9	12	7	9	8	8	2
2006 Contract Condition		Yes	Yes
Action		Yes	Yes

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Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	45	45	45	45	45	45	45	45	45	45	45
Closed Lower	21	17	21	20	21	20	23	19	26	26	27
Penetrated Low	19	14	17	15	17	12	17	17	24	19	17
Scenario Percentage	90%	82%	81%	75%	81%	60%	74%	89%	92%	73%	63%
Avg Max Decline	4.60%	5.12%	6.66%	6.42%	6.88%	9.24%	9.20%	9.73%	7.07%	6.06%	11.35%
Max Decline	10.02%	14.66%	23.26%	20.32%	19.03%	18.49%	27.01%	17.97%	17.17%	19.61%	28.61%
Avg Days To Max Decline	19	20	17	19	19	19	18	16	18	12	8
Avg Max Increase	-0.97%	-1.55%	-2.15%	-2.54%	-2.13%	-3.01%	-2.43%	-2.33%	-1.21%	-2.38%	-1.54%
Max Increase	-4.37%	-7.65%	-7.79%	-8.68%	-7.51%	-13.52%	-9.72%	-8.87%	-5.02%	-7.57%	-4.99%
Avg Days to Max Increase	6	13	13	15	14	6	10	10	5	8	4
2006 Contract Condition	Yes			Yes	Yes	Yes	Yes
Action	Yes			Yes	Yes	Not Yet
High	56.70	56.45	59.90	60.55	58.20	57.85	54.75
Low	54.55	54.37	56.75	58.00	55.70	53.05	54.10
Close/Last	54.95	56.15	59.45	58.00	56.70	54.60	54.10