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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, 2016
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   23 31 24 27 23 26 19 23 19 18 20
Exceeded High   20 25 22 23 18 21 14 14 15 15 9
Scenario Percentage   87% 81% 92% 85% 78% 81% 74% 61% 79% 83% 45%
Avg Max Increase   8.90% 9.46% 8.84% 6.89% 10.29% 8.04% 13.14% 11.74% 11.77% 9.45% 2.14%
Max Increase   29.90% 48.57% 29.88% 31.32% 34.36% 34.82% 36.97% 63.47% 56.45% 35.35% 4.27%
Avg Days To Max Increase   22 20 15 20 15 17 15 16 19 12 4
Avg Max Decline   -1.11% -1.63% -1.17% -1.39% -1.63% -2.49% -2.61% -1.48% -2.29% -3.27% -0.50%
Max Decline   -3.41% -10.06% -3.19% -6.58% -8.64% -10.73% -11.05% -6.17% -5.63% -8.58% -2.03%
Avg Days to Max Decline   7 9 6 10 7 13 5 5 9 7 2
2015 Contract Condition         Yes   Yes   Yes      
Action         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 13 21 18 21 19 26 22 26 27 25
Penetrated Low   18 11 17 15 17 16 20 18 23 19 10
Scenario Percentage   82% 85% 81% 83% 81% 84% 77% 82% 88% 70% 40%
Avg Max Decline   5.02% 6.39% 6.89% 6.87% 9.45% 11.09% 9.73% 11.46% 8.51% 7.16% 3.48%
Max Decline   10.02% 14.66% 23.26% 20.32% 24.16% 27.03% 27.01% 24.41% 24.28% 23.65% 7.10%
Avg Days To Max Decline   18 19 16 18 19 19 17 14 18 11 5
Avg Max Increase   -0.99% -1.37% -2.10% -2.37% -3.24% -2.84% -2.88% -2.04% -1.93% -2.48% -2.40%
Max Increase   -4.37% -7.65% -7.79% -8.68% -11.33% -13.52% -12.42% -8.87% -15.14% -7.57% -9.01%
Avg Days to Max Increase   8 12 9 14 12 11 8 9 6 8 2
2015 Contract Condition   Yes Yes Yes   Yes   Yes   Yes Yes Yes
Action   Yes Yes No   No   Yes   Yes Yes Not Yet
High 65.72 66.39 64.75 63.70 66.84 65.97 66.85 68.91 69.13 68.60 68.30 65.03
Low 62.56 62.19 62.21 60.15 61.92 61.52 62.90 64.46 64.27 63.30 61.77 58.48
Close/Last 65.67 63.36 63.28 61.80 65.85 63.98 66.83 65.30 68.91 64.01 63.74 59.49

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