MRCI's ScenarioSM Study

ScenarioSM Study for October Cotton(ICE) as of Jan 01, 2018
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		24	30	24	26	23	27	19	24	20	19	19
Exceeded High		21	23	22	22	19	22	15	15	16	16	7
Scenario Percentage		88%	77%	92%	85%	83%	81%	79%	63%	80%	84%	37%
Avg Max Increase		8.18%	9.77%	8.72%	6.50%	9.70%	7.71%	13.42%	12.32%	11.37%	9.38%	2.51%
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	21	14	16	14	15	18	12	4
Avg Max Decline		-1.13%	-1.67%	-1.12%	-1.40%	-1.66%	-2.65%	-2.52%	-1.38%	-2.54%	-3.03%	-0.27%
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		8	9	6	12	8	13	5	5	9	7	1
2017 Contract Condition		Yes		Yes	Yes	Yes	Yes			Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes			Yes	Yes

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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		21	14	21	19	21	18	26	21	25	26	26
Penetrated Low		17	11	18	16	17	15	20	17	22	18	11
Scenario Percentage		81%	79%	86%	84%	81%	83%	77%	81%	88%	69%	42%
Avg Max Decline		5.16%	6.39%	7.01%	6.59%	9.45%	11.13%	9.67%	11.18%	8.57%	7.59%	3.67%
Max Decline		10.02%	14.66%	23.26%	20.32%	24.16%	27.03%	27.01%	24.41%	24.28%	23.65%	8.96%
Avg Days To Max Decline		18	19	15	17	19	19	16	14	18	12	5
Avg Max Increase		-1.07%	-1.37%	-2.09%	-2.12%	-3.24%	-2.91%	-2.84%	-2.10%	-1.98%	-2.51%	-2.06%
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	13	12	12	8	9	5	8	2
2017 Contract Condition			Yes					Yes	Yes			Yes
Action			No					Yes	No			Yes
High	71.13	71.93	71.13	72.73	74.68	76.61	76.62	79.92	75.75	72.02	72.43	76.15
Low	67.73	68.40	69.22	70.74	72.97	74.16	72.43	73.29	66.34	66.49	67.25	68.80
Close/Last	69.11	70.92	69.72	72.39	74.40	74.61	75.99	75.04	70.36	70.50	71.48	69.08