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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Cotton(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct 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   22 28 24 23 21 24 21 25 19 17 18
Exceeded High   19 21 20 19 16 18 16 17 14 12 9
Scenario Percentage   86% 75% 83% 83% 76% 75% 76% 68% 74% 71% 50%
Avg Max Increase   7.35% 7.93% 8.51% 7.43% 9.51% 8.70% 12.76% 9.74% 9.79% 9.20% 2.62%
Max Increase   23.70% 14.32% 29.88% 31.32% 34.36% 34.82% 36.97% 63.47% 56.45% 35.35% 4.27%
Avg Days To Max Increase   21 20 16 20 19 19 16 17 19 13 5
Avg Max Decline   -1.14% -1.48% -1.32% -1.31% -1.73% -2.85% -1.74% -1.26% -2.01% -3.51% -0.28%
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   8 9 8 8 9 13 6 8 8 8 2
2008 Contract Condition     Yes Yes Yes       Yes      
Action     Yes Yes Yes       No      
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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 Oct 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   22 16 21 21 23 21 24 19 25 28 27
Penetrated Low   19 14 18 17 19 15 18 17 24 20 12
Scenario Percentage   86% 88% 86% 81% 83% 71% 75% 89% 96% 71% 44%
Avg Max Decline   4.60% 5.12% 6.60% 6.70% 7.03% 8.82% 8.93% 9.93% 7.97% 7.33% 3.64%
Max Decline   10.02% 14.66% 23.26% 20.32% 19.03% 18.49% 27.01% 17.97% 24.28% 23.65% 8.96%
Avg Days To Max Decline   18 20 17 19 20 18 18 15 19 11 5
Avg Max Increase   -0.86% -1.55% -2.08% -2.37% -2.61% -2.85% -2.99% -2.28% -1.25% -2.27% -1.94%
Max Increase   -4.37% -7.65% -7.79% -8.68% -11.33% -13.52% -12.42% -8.87% -5.02% -7.57% -9.01%
Avg Days to Max Increase   6 13 12 15 14 10 11 10 5 8 2
2008 Contract Condition   Yes       Yes Yes Yes   Yes Yes Yes
Action   No       Yes Yes Yes   Yes Yes Yes
High 74.40 74.25 73.55 78.39 85.33 96.33 85.50 78.07 80.00 75.38 72.09 68.10
Low 69.80 68.85 68.95 72.72 73.20 75.10 75.30 70.70 68.35 68.00 64.52 54.25
Close/Last 73.90 68.85 73.45 74.17 85.33 76.80 76.42 71.16 75.48 71.65 67.53 55.50

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