|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Cotton(ICE) as of Jan 06, 2009 |
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 |
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% |
-1.24% |
-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 |
|
|
|
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 |
22 |
16 |
21 |
21 |
23 |
21 |
24 |
19 |
25 |
28 |
27 |
| Penetrated Low |
19 |
14 |
18 |
17 |
19 |
15 |
18 |
17 |
24 |
20 |
17 |
| Scenario Percentage |
86% |
88% |
86% |
81% |
83% |
71% |
75% |
89% |
96% |
71% |
63% |
| Avg Max Decline |
4.60% |
5.12% |
6.60% |
6.70% |
7.03% |
8.82% |
8.93% |
9.93% |
7.97% |
7.33% |
11.41% |
| Max Decline |
10.02% |
14.66% |
23.26% |
20.32% |
19.03% |
18.49% |
27.01% |
17.97% |
24.28% |
23.65% |
28.61% |
| Avg Days To Max Decline |
18 |
20 |
17 |
19 |
20 |
18 |
18 |
15 |
19 |
11 |
8 |
| Avg Max Increase |
-0.86% |
-1.55% |
-2.08% |
-2.37% |
-2.61% |
-2.85% |
-2.99% |
-2.28% |
-1.25% |
-2.27% |
-2.09% |
| 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 |
4 |
| 2008 Contract Condition |
Yes |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
| Action |
No |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
| High |
74.25 |
73.55 |
78.39 |
85.33 |
96.33 |
85.50 |
78.07 |
80.00 |
75.38 |
72.09 |
68.10 |
| Low |
68.65 |
68.95 |
72.72 |
73.20 |
75.10 |
75.30 |
70.70 |
68.35 |
68.00 |
64.52 |
54.25 |
| Close/Last |
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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