MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	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		25	22	24	18	19	18	23	21	29	22	26
Exceeded High		19	17	18	14	13	14	13	18	25	16	18
Scenario Percentage		76%	77%	75%	78%	68%	78%	57%	86%	86%	73%	69%
Avg Max Increase		7.84%	10.57%	10.30%	12.09%	14.01%	12.44%	9.96%	11.93%	10.30%	7.68%	3.74%
Max Increase		27.66%	33.40%	54.34%	43.69%	47.88%	51.25%	32.10%	25.60%	45.72%	29.29%	16.96%
Avg Days To Max Increase		21	17	20	21	16	19	19	21	18	7	3
Avg Max Decline		-2.55%	-2.33%	-1.90%	-2.04%	-2.72%	-2.60%	-2.03%	-2.32%	-2.80%	-3.08%	-0.52%
Max Decline		-9.75%	-8.56%	-10.52%	-6.21%	-11.15%	-10.44%	-7.74%	-6.83%	-11.97%	-7.71%	-7.38%
Avg Days to Max Decline		14	5	8	6	5	8	8	6	13	8	1
2013 Contract Condition				Yes		Yes			Yes	Yes	Yes	Yes
Action				Yes		No			Yes	Yes	Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Mar	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		17	22	20	26	25	27	22	24	16	22	19
Penetrated Low		14	19	18	21	15	24	17	18	12	19	5
Scenario Percentage		82%	86%	90%	81%	60%	89%	77%	75%	75%	86%	26%
Avg Max Decline		9.10%	7.29%	8.23%	7.61%	9.64%	7.99%	6.71%	6.91%	8.79%	4.96%	3.05%
Max Decline		23.97%	26.76%	19.28%	25.15%	35.57%	36.47%	19.16%	15.31%	17.31%	16.07%	4.67%
Avg Days To Max Decline		20	17	14	18	19	19	14	19	19	14	4
Avg Max Increase		-2.70%	-2.40%	-2.07%	-1.26%	-1.67%	-3.22%	-1.95%	-1.70%	-1.77%	-2.61%	0.42%
Max Increase		-11.54%	-11.40%	-10.21%	-4.54%	-4.84%	-6.59%	-6.33%	-5.68%	-9.86%	-10.20%	-0.77%
Avg Days to Max Increase		11	9	9	3	10	14	6	8	12	8	2
2013 Contract Condition		Yes	Yes		Yes		Yes	Yes
Action		Yes	Yes		No		Yes	Yes
High	94.20	91.54	88.13	76.10	74.30	78.02	78.00	76.39	73.98	77.10	84.00	84.36
Low	88.65	87.00	69.37	66.85	70.34	71.22	71.50	71.10	69.79	72.43	73.72	80.05
Close/Last	91.62	87.93	72.42	72.51	72.28	77.98	71.68	71.39	73.91	75.14	82.95	83.56