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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 44 44 44 44 44 45 45 45 45 45 45
Closed Higher 23 20 25 20 19 18 21 23 26 20 24
Exceeded High 18 15 20 15 14 14 11 19 21 15 15
Scenario Percentage 78% 75% 80% 75% 74% 78% 52% 83% 81% 75% 62%
Avg Max Increase 7.62% 11.12% 9.46% 11.65% 9.67% 7.76% 9.38% 10.84% 7.62% 6.13% 2.79%
Max Increase 27.66% 33.40% 54.34% 43.69% 40.16% 23.61% 24.63% 25.60% 22.27% 22.68% 8.43%
Avg Days To Max Increase 21 19 20 23 17 20 21 22 17 8 4
Avg Max Decline -2.47% -1.49% -1.53% -1.95% -2.60% -2.08% -1.50% -1.89% -2.12% -2.92% -0.86%
Max Decline -9.75% -7.53% -10.52% -6.21% -11.15% -10.44% -4.89% -6.83% -4.69% -7.71% -5.07%
Avg Days to Max Decline 13 4 8 8 7 9 6 8 12 8 1
2007 Contract Condition   Yes   Yes Yes     Yes Yes   Yes
Action   Yes   Yes No     Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 44 44 44 44 44 45 45 45 45 45 45
Closed Lower 18 23 19 24 24 27 24 22 19 24 20
Penetrated Low 13 20 18 21 16 24 17 18 15 20 8
Scenario Percentage 72% 87% 95% 88% 67% 89% 71% 82% 79% 83% 40%
Avg Max Decline 6.70% 6.47% 7.11% 6.41% 7.02% 6.16% 5.74% 6.81% 8.07% 5.18% 16.76%
Max Decline 18.00% 26.76% 19.28% 14.85% 26.96% 21.60% 18.82% 15.31% 17.31% 16.07% 34.35%
Avg Days To Max Decline 21 19 13 16 19 18 14 20 18 13 16
Avg Max Increase -2.46% -1.73% -1.97% -1.25% -1.70% -2.65% -1.62% -1.59% -2.10% -2.53% -0.65%
Max Increase -11.54% -10.66% -10.21% -4.54% -4.84% -6.59% -6.33% -5.68% -9.86% -10.20% -2.95%
Avg Days to Max Increase 13 9 9 3 10 15 8 9 10 8 2
2007 Contract Condition Yes   Yes     Yes Yes     Yes  
Action Yes   Yes     Yes Yes     Yes  
High 61.00 59.60 61.65 59.25 60.35 58.30 54.05 54.50 57.05 55.90 55.80
Low 56.85 55.75 55.75 54.12 57.30 53.70 51.25 50.81 52.51 52.85 51.65
Close/Last 57.85 59.39 56.89 58.24 58.73 53.89 53.09 53.50 56.19 54.00 55.55

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