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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec 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 24 23 27 22 24 21 17 17 23 23
Exceeded High   22 20 18 22 17 18 16 15 13 14 8
Scenario Percentage   92% 83% 78% 81% 77% 75% 76% 88% 76% 61% 35%
Avg Max Increase   7.71% 7.11% 10.45% 7.98% 11.11% 9.09% 13.76% 13.44% 13.27% 7.82% 3.18%
Max Increase   28.86% 31.87% 33.85% 31.42% 33.57% 55.24% 49.88% 51.39% 54.27% 25.52% 8.67%
Avg Days To Max Increase   14 21 19 19 16 18 22 17 18 9 3
Avg Max Decline   -1.34% -2.11% -1.71% -2.71% -2.53% -2.12% -2.16% -3.30% -2.57% -1.65% -0.60%
Max Decline   -5.32% -10.35% -7.08% -10.65% -9.99% -10.75% -6.53% -9.53% -6.49% -5.94% -1.71%
Avg Days to Max Decline   8 10 6 14 5 8 6 7 8 5 1
2012 Contract Condition   Yes         Yes Yes Yes     Yes
Action   Yes         Yes Yes Yes     Not Yet
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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 Dec 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 20 21 17 22 20 23 27 28 22 22
Penetrated Low   16 17 16 14 19 17 20 16 22 16 4
Scenario Percentage   80% 85% 76% 82% 86% 85% 87% 59% 79% 73% 18%
Avg Max Decline   6.94% 6.18% 8.06% 9.88% 7.59% 9.36% 8.00% 11.20% 8.75% 6.60% 3.48%
Max Decline   20.96% 19.97% 25.57% 25.70% 26.30% 21.41% 26.03% 37.46% 35.90% 17.14% 5.94%
Avg Days To Max Decline   14 18 22 19 16 15 17 20 18 14 3
Avg Max Increase   -1.53% -2.55% -3.37% -2.57% -2.64% -2.14% -1.30% -1.55% -3.70% -1.72% -0.78%
Max Increase   -5.15% -9.20% -13.11% -12.82% -13.00% -10.03% -5.36% -4.99% -12.09% -5.87% -1.56%
Avg Days to Max Increase   8 13 12 9 8 9 5 9 13 4 1
2012 Contract Condition     Yes Yes Yes Yes       Yes Yes  
Action     Yes Yes Yes Yes       Yes Yes  
High 90.34 95.05 97.39 93.49 91.00 87.18 74.80 73.40 77.49 77.29 79.19 74.63
Low 83.25 87.91 89.56 87.51 85.40 67.73 64.61 69.40 70.21 70.46 69.83 69.03
Close/Last 87.84 93.53 91.18 91.00 86.96 70.35 71.33 71.34 77.26 70.65 70.07 72.65

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