|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Cotton(ICE) as of Jan 07, 2009 |
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 |
22 |
26 |
21 |
26 |
21 |
16 |
17 |
22 |
22 |
| Exceeded High |
21 |
18 |
16 |
20 |
16 |
20 |
16 |
14 |
12 |
13 |
8 |
| Scenario Percentage |
88% |
82% |
73% |
77% |
76% |
77% |
76% |
88% |
71% |
59% |
36% |
| Avg Max Increase |
7.82% |
7.00% |
9.61% |
8.11% |
12.27% |
8.67% |
11.42% |
10.56% |
8.79% |
7.54% |
3.80% |
| Max Increase |
28.86% |
31.87% |
33.85% |
31.42% |
33.57% |
55.24% |
49.88% |
43.29% |
27.00% |
19.56% |
9.02% |
| Avg Days To Max Increase |
15 |
22 |
20 |
20 |
17 |
18 |
22 |
17 |
18 |
10 |
5 |
| Avg Max Decline |
-1.38% |
-1.68% |
-1.82% |
-2.71% |
-1.55% |
-1.73% |
-2.02% |
-2.96% |
-1.94% |
-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 |
8 |
14 |
4 |
7 |
8 |
7 |
8 |
5 |
1 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
|
Yes |
| Action |
Yes |
Yes |
|
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 |
22 |
18 |
22 |
18 |
23 |
27 |
28 |
22 |
23 |
| Penetrated Low |
16 |
18 |
16 |
15 |
19 |
16 |
20 |
17 |
21 |
16 |
16 |
| Scenario Percentage |
80% |
86% |
73% |
83% |
86% |
89% |
87% |
63% |
75% |
73% |
70% |
| Avg Max Decline |
6.80% |
5.87% |
6.91% |
6.84% |
7.22% |
8.43% |
8.00% |
10.70% |
8.34% |
6.56% |
13.35% |
| Max Decline |
20.96% |
19.97% |
16.87% |
18.35% |
26.30% |
19.05% |
26.03% |
37.46% |
32.84% |
13.19% |
47.84% |
| Avg Days To Max Decline |
14 |
18 |
22 |
18 |
18 |
14 |
17 |
20 |
17 |
13 |
9 |
| Avg Max Increase |
-1.52% |
-2.37% |
-3.38% |
-2.38% |
-2.69% |
-2.25% |
-1.30% |
-1.54% |
-3.09% |
-2.48% |
-1.47% |
| Max Increase |
-5.15% |
-9.20% |
-13.11% |
-12.82% |
-13.00% |
-10.03% |
-5.36% |
-4.99% |
-7.69% |
-9.27% |
-7.35% |
| Avg Days to Max Increase |
9 |
14 |
12 |
10 |
10 |
11 |
5 |
8 |
12 |
8 |
3 |
| 2008 Contract Condition |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
| Action |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
| High |
80.61 |
87.59 |
98.45 |
89.49 |
81.44 |
84.04 |
79.00 |
74.93 |
70.43 |
59.34 |
46.89 |
| Low |
74.31 |
74.85 |
76.34 |
77.08 |
73.79 |
71.65 |
70.78 |
66.79 |
55.11 |
43.64 |
38.45 |
| Close/Last |
76.40 |
87.45 |
79.12 |
79.52 |
74.37 |
78.62 |
74.50 |
69.78 |
57.25 |
44.29 |
45.75 |
|
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