MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2015
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		24	21	24	19	19	19	23	22	30	23	27
Exceeded High		18	16	18	15	13	15	13	19	26	17	19
Scenario Percentage		75%	76%	75%	79%	68%	79%	57%	86%	87%	74%	70%
Avg Max Increase		7.96%	10.69%	10.52%	11.84%	14.01%	11.66%	9.96%	11.90%	10.12%	7.51%	3.75%
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	18	19	21	18	7	3
Avg Max Decline		-2.60%	-2.45%	-1.93%	-1.99%	-2.72%	-2.55%	-2.03%	-2.27%	-2.79%	-2.98%	-0.49%
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		15	5	8	6	5	8	8	6	13	9	1
2014 Contract Condition				Yes	Yes		Yes		Yes	Yes	Yes	Yes
Action				Yes	Yes		Yes		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		18	23	20	25	25	26	22	23	15	21	18
Penetrated Low		15	20	18	20	15	23	17	17	11	18	5
Scenario Percentage		83%	87%	90%	80%	60%	88%	77%	74%	73%	86%	28%
Avg Max Decline		8.87%	6.97%	8.23%	7.52%	9.16%	8.09%	6.73%	6.80%	8.54%	4.91%	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		21	18	14	17	20	19	14	18	20	14	4
Avg Max Increase		-2.73%	-2.69%	-2.07%	-1.12%	-2.06%	-3.20%	-1.99%	-1.65%	-1.76%	-2.72%	0.42%
Max Increase		-11.54%	-11.40%	-10.21%	-4.54%	-5.90%	-6.59%	-6.33%	-5.68%	-9.86%	-10.20%	-0.77%
Avg Days to Max Increase		14	9	9	3	12	14	6	8	12	8	2
2014 Contract Condition		Yes	Yes			Yes		Yes
Action		Yes	Yes			Yes		Yes
High	88.00	88.00	87.13	89.21	85.75	90.61	87.09	87.62	80.52	85.29	88.43	89.31
Low	83.88	83.31	82.07	81.64	81.79	81.79	81.76	79.12	76.65	78.20	82.39	84.65
Close/Last	87.18	86.50	82.38	82.48	83.53	82.74	86.98	79.20	79.35	84.64	85.83	86.59