MRCI Online
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| ScenarioSM Study for October Cotton(ICE) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 21 | 29 | 24 | 23 | 22 | 25 | 21 | 24 | 19 | 16 | 19 |
| Exceeded High | 18 | 22 | 20 | 19 | 17 | 19 | 16 | 16 | 14 | 12 | 9 |
| Scenario Percentage | 86% | 76% | 83% | 83% | 77% | 76% | 76% | 67% | 74% | 75% | 47% |
| Avg Max Increase | 7.68% | 7.73% | 8.51% | 7.43% | 10.44% | 8.84% | 12.56% | 10.18% | 10.45% | 9.05% | 2.42% |
| 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 | 18 | 19 | 16 | 17 | 20 | 13 | 5 |
| Avg Max Decline | -1.15% | -1.65% | -1.32% | -1.31% | -1.66% | -2.60% | -2.41% | -1.33% | -2.36% | -3.51% | -0.28% |
| Max Decline | -3.41% | -10.06% | -3.19% | -6.26% | -8.64% | -10.73% | -11.05% | -6.17% | -5.63% | -8.58% | -1.81% |
| Avg Days to Max Decline | 7 | 10 | 8 | 8 | 9 | 12 | 8 | 8 | 9 | 8 | 2 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
| Action | Yes | No | Yes | Yes | Yes | Yes | Not Yet | ||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
