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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, 2010
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 24 21 26 20 18 17 22 21 26 20 23
Exceeded High 18 16 20 15 13 13 12 17 21 14 15
Scenario Percentage 75% 76% 77% 75% 72% 76% 55% 81% 81% 70% 65%
Avg Max Increase 7.62% 11.70% 9.84% 11.65% 10.37% 8.29% 8.79% 11.91% 8.62% 6.59% 4.01%
Max Increase 27.66% 33.40% 54.34% 43.69% 40.16% 23.61% 24.63% 25.60% 22.27% 22.68% 16.96%
Avg Days To Max Increase 21 19 21 23 16 20 20 22 18 9 5
Avg Max Decline -2.47% -1.50% -1.57% -1.95% -2.79% -2.11% -1.47% -2.09% -2.50% -3.30% -0.19%
Max Decline -9.75% -7.53% -10.52% -6.21% -11.15% -10.44% -4.89% -6.83% -7.02% -7.71% -5.07%
Avg Days to Max Decline 13 4 8 8 7 9 6 6 13 9 1
2009 Contract Condition Yes   Yes           Yes Yes  
Action No   No           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 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 18 24 25 28 23 24 19 24 21
Penetrated Low 14 20 17 22 16 25 18 19 15 21 9
Scenario Percentage 78% 87% 94% 92% 64% 89% 78% 79% 79% 88% 43%
Avg Max Decline 6.52% 6.64% 7.47% 7.26% 9.17% 7.37% 6.49% 6.50% 8.07% 5.04% 15.39%
Max Decline 18.00% 26.76% 19.28% 25.15% 35.57% 36.47% 19.16% 15.31% 17.31% 16.07% 34.35%
Avg Days To Max Decline 20 18 13 17 20 17 14 19 18 13 15
Avg Max Increase -2.26% -2.30% -2.08% -1.21% -1.68% -2.67% -1.84% -1.58% -2.10% -2.56% -0.40%
Max Increase -11.54% -11.40% -10.21% -4.54% -4.84% -6.59% -6.33% -5.68% -9.86% -10.20% -2.95%
Avg Days to Max Increase 13 10 9 3 9 14 8 9 10 8 2
2009 Contract Condition   Yes   Yes Yes Yes Yes Yes     Yes
Action   Yes   Yes Yes Yes Yes No     Yes
High 92.18 86.05 89.15 84.33 80.20 74.87 63.71 51.30 49.30 52.40 50.45
Low 79.80 79.35 77.35 76.00 71.99 59.80 47.92 39.23 41.31 45.58 42.06
Close/Last 83.85 80.03 84.05 79.89 74.38 61.75 48.53 47.91 49.02 49.41 42.06

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