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