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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Cotton(NYBOT) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
45 |
45 |
45 |
| Closed Higher |
24 |
22 |
23 |
26 |
22 |
26 |
22 |
18 |
18 |
23 |
23 |
| Exceeded High |
20 |
17 |
16 |
21 |
17 |
21 |
17 |
16 |
14 |
14 |
8 |
| Scenario Percentage |
83% |
77% |
70% |
81% |
77% |
81% |
77% |
89% |
78% |
61% |
35% |
| Avg Max Increase |
6.14% |
6.21% |
9.53% |
7.81% |
10.29% |
7.90% |
10.58% |
9.33% |
7.06% |
6.92% |
3.36% |
| Max Increase |
20.97% |
31.87% |
33.85% |
31.42% |
33.57% |
55.24% |
49.88% |
43.29% |
27.00% |
17.83% |
8.67% |
| Avg Days To Max Increase |
15 |
22 |
21 |
21 |
17 |
19 |
22 |
17 |
17 |
9 |
3 |
| Avg Max Decline |
-1.33% |
-1.71% |
-1.60% |
-2.50% |
-1.40% |
-1.61% |
-1.93% |
-2.59% |
-1.82% |
-1.53% |
-0.60% |
| Max Decline |
-5.32% |
-4.26% |
-7.08% |
-10.65% |
-8.16% |
-10.75% |
-6.53% |
-9.53% |
-4.95% |
-5.94% |
-1.71% |
| Avg Days to Max Decline |
10 |
9 |
9 |
13 |
6 |
8 |
8 |
7 |
10 |
5 |
1 |
| 2001 Contract Condition |
|
|
|
Yes |
|
|
Yes |
|
|
|
Yes |
| Action |
|
|
|
No |
|
|
No |
|
|
|
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
44 |
45 |
45 |
45 |
| Closed Lower |
20 |
21 |
21 |
18 |
21 |
18 |
22 |
25 |
27 |
21 |
22 |
| Penetrated Low |
16 |
17 |
14 |
13 |
18 |
16 |
18 |
16 |
20 |
13 |
13 |
| Scenario Percentage |
80% |
81% |
67% |
72% |
86% |
89% |
82% |
64% |
74% |
62% |
59% |
| Avg Max Decline |
6.57% |
5.28% |
6.87% |
7.13% |
7.22% |
8.16% |
6.94% |
8.30% |
6.91% |
5.41% |
16.19% |
| Max Decline |
20.96% |
19.97% |
16.87% |
18.35% |
26.30% |
19.05% |
14.97% |
27.64% |
20.33% |
11.88% |
47.84% |
| Avg Days To Max Decline |
14 |
17 |
21 |
18 |
17 |
15 |
17 |
19 |
18 |
11 |
9 |
| Avg Max Increase |
-1.43% |
-2.35% |
-2.74% |
-2.30% |
-1.54% |
-2.32% |
-1.33% |
-1.64% |
-3.05% |
-1.40% |
-1.36% |
| Max Increase |
-5.15% |
-9.20% |
-7.51% |
-12.82% |
-8.21% |
-10.03% |
-5.36% |
-4.99% |
-7.69% |
-3.51% |
-7.35% |
| Avg Days to Max Increase |
9 |
10 |
12 |
7 |
9 |
13 |
5 |
9 |
12 |
6 |
2 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Not Yet |
|
| High |
64.00 |
60.75 |
56.90 |
52.70 |
51.10 |
47.00 |
44.40 |
44.15 |
40.25 |
35.10 |
37.90 |
| Low |
60.25 |
55.40 |
48.85 |
48.70 |
44.85 |
42.30 |
40.40 |
38.57 |
34.65 |
28.20 |
29.75 |
| Close/Last |
60.68 |
56.02 |
49.02 |
50.31 |
45.31 |
42.81 |
43.16 |
38.97 |
34.88 |
29.90 |
37.30 |
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