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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(NYBOT) as of Sep 30, 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% 7.36% 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 20 20 16 18 22 17 18 9 3
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
2006 Contract Condition Yes       Yes   Yes        
Action 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 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 13
Scenario Percentage 79% 80% 70% 72% 86% 89% 83% 64% 74% 64% 59%
Avg Max Decline 6.88% 5.57% 6.87% 7.13% 7.07% 8.16% 7.05% 8.30% 6.91% 5.52% 15.55%
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% -1.30%
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
2006 Contract Condition   Yes Yes Yes   Yes   Yes Yes    
Action   Yes Yes Yes   Yes   Yes Not Yet    
High 60.94 61.55 59.35 59.60 56.80 59.20 56.35 57.75 54.83    
Low 57.50 58.90 56.90 54.30 53.55 52.95 51.20 54.05 50.00    
Close/Last 60.50 59.09 58.05 55.85 56.58 54.16 55.28 55.08 50.45