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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Cotton(NYBOT) as of Jul 31, 2006 |
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 |
25 |
23 |
24 |
26 |
21 |
26 |
21 |
18 |
18 |
22 |
23 |
| Exceeded High |
21 |
18 |
17 |
21 |
16 |
21 |
16 |
16 |
14 |
13 |
8 |
| Scenario Percentage |
84% |
78% |
71% |
81% |
76% |
81% |
76% |
89% |
78% |
59% |
35% |
| Avg Max Increase |
6.76% |
6.19% |
9.11% |
7.77% |
10.89% |
7.95% |
11.20% |
9.33% |
7.59% |
7.40% |
3.60% |
| Max Increase |
20.97% |
31.87% |
33.85% |
31.42% |
33.57% |
55.24% |
49.88% |
43.29% |
27.00% |
17.83% |
9.02% |
| Avg Days To Max Increase |
15 |
22 |
20 |
20 |
16 |
18 |
22 |
17 |
18 |
9 |
5 |
| Avg Max Decline |
-1.32% |
-1.79% |
-1.74% |
-2.58% |
-1.46% |
-1.71% |
-2.02% |
-2.59% |
-1.83% |
-1.65% |
-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 |
10 |
9 |
13 |
6 |
8 |
8 |
7 |
9 |
5 |
1 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
|
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 |
19 |
20 |
20 |
18 |
22 |
18 |
23 |
25 |
27 |
22 |
22 |
| Penetrated Low |
15 |
16 |
14 |
13 |
19 |
16 |
19 |
16 |
20 |
14 |
14 |
| Scenario Percentage |
79% |
80% |
70% |
72% |
86% |
89% |
83% |
64% |
74% |
64% |
64% |
| Avg Max Decline |
6.88% |
5.57% |
6.87% |
7.13% |
7.07% |
8.16% |
7.05% |
8.30% |
6.91% |
5.52% |
14.58% |
| 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 |
18 |
15 |
17 |
19 |
18 |
12 |
9 |
| Avg Max Increase |
-1.54% |
-2.45% |
-2.74% |
-2.30% |
-2.03% |
-2.32% |
-1.34% |
-1.64% |
-3.05% |
-1.46% |
-1.31% |
| Max Increase |
-5.15% |
-9.20% |
-7.51% |
-12.82% |
-10.81% |
-10.03% |
-5.36% |
-4.99% |
-7.69% |
-3.51% |
-7.35% |
| Avg Days to Max Increase |
9 |
11 |
12 |
7 |
10 |
13 |
5 |
9 |
12 |
6 |
2 |
| 2005 Contract Condition |
|
|
|
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
|
|
Yes |
|
Yes |
No |
|
Yes |
Yes |
| High |
52.70 |
55.60 |
58.70 |
58.80 |
58.85 |
56.75 |
57.20 |
53.30 |
54.52 |
57.80 |
52.99 |
| Low |
48.00 |
48.71 |
53.75 |
55.25 |
51.50 |
50.01 |
49.36 |
47.76 |
48.25 |
51.57 |
48.25 |
| Close/Last |
49.25 |
55.53 |
57.49 |
58.70 |
51.62 |
56.39 |
52.48 |
49.74 |
53.11 |
51.87 |
49.19 |
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