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 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Cotton(ICE) as of Jan 29, 2010 |
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 |
27 |
21 |
25 |
21 |
16 |
17 |
23 |
23 |
| Exceeded High |
21 |
18 |
17 |
21 |
16 |
19 |
16 |
14 |
13 |
14 |
8 |
| Scenario Percentage |
88% |
82% |
74% |
78% |
76% |
76% |
76% |
88% |
76% |
61% |
35% |
| Avg Max Increase |
7.82% |
7.00% |
10.43% |
8.25% |
12.11% |
9.05% |
11.90% |
10.56% |
9.24% |
7.46% |
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 |
19 |
20 |
17 |
18 |
21 |
17 |
18 |
11 |
5 |
| Avg Max Decline |
-1.38% |
-1.68% |
-1.79% |
-2.60% |
-2.13% |
-1.84% |
-2.01% |
-2.96% |
-2.07% |
-1.72% |
-0.60% |
| Max Decline |
-5.32% |
-4.26% |
-7.08% |
-10.65% |
-9.99% |
-10.75% |
-6.53% |
-9.53% |
-4.95% |
-5.94% |
-1.71% |
| Avg Days to Max Decline |
10 |
10 |
8 |
13 |
5 |
7 |
5 |
7 |
8 |
5 |
1 |
| 2009 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
| Action |
No |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
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 |
17 |
22 |
19 |
23 |
28 |
28 |
22 |
22 |
| Penetrated Low |
16 |
18 |
15 |
14 |
19 |
16 |
20 |
17 |
21 |
16 |
15 |
| Scenario Percentage |
80% |
86% |
71% |
82% |
86% |
84% |
87% |
61% |
75% |
73% |
68% |
| Avg Max Decline |
6.80% |
5.74% |
6.89% |
7.14% |
7.22% |
8.43% |
8.00% |
10.70% |
8.48% |
6.81% |
14.16% |
| Max Decline |
20.96% |
19.97% |
16.87% |
18.35% |
26.30% |
19.05% |
26.03% |
37.46% |
35.90% |
17.14% |
47.84% |
| Avg Days To Max Decline |
14 |
18 |
22 |
19 |
18 |
14 |
17 |
20 |
17 |
13 |
9 |
| Avg Max Increase |
-1.52% |
-2.39% |
-3.60% |
-2.59% |
-2.69% |
-2.25% |
-1.30% |
-1.54% |
-3.09% |
-2.49% |
-1.57% |
| 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 |
13 |
13 |
10 |
10 |
11 |
5 |
8 |
12 |
8 |
3 |
| 2009 Contract Condition |
|
Yes |
|
|
|
Yes |
|
Yes |
|
|
|
| Action |
|
Yes |
|
|
|
No |
|
No |
|
|
|
| High |
57.20 |
56.35 |
51.70 |
57.50 |
63.75 |
62.63 |
64.98 |
65.47 |
65.39 |
69.49 |
72.00 |
| Low |
51.85 |
48.42 |
46.25 |
50.87 |
57.20 |
54.77 |
57.48 |
57.00 |
57.52 |
60.59 |
65.87 |
| Close/Last |
55.54 |
48.96 |
51.56 |
57.46 |
60.85 |
57.48 |
60.02 |
59.74 |
62.84 |
67.64 |
70.75 |
|
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