MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2016
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	21	24	19	20	18	23	22	31	23	28
Exceeded High		19	16	18	15	13	14	13	19	27	17	19
Scenario Percentage		76%	76%	75%	79%	65%	78%	57%	86%	87%	74%	68%
Avg Max Increase		7.61%	10.69%	10.52%	11.84%	14.01%	12.10%	9.96%	11.90%	10.19%	8.06%	4.28%
Max Increase		27.66%	33.40%	54.34%	43.69%	47.88%	51.25%	32.10%	25.60%	45.72%	34.77%	16.96%
Avg Days To Max Increase		20	17	20	21	16	18	19	21	18	8	5
Avg Max Decline		-2.47%	-2.45%	-1.93%	-1.99%	-2.72%	-2.74%	-2.03%	-2.27%	-2.89%	-3.13%	-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		14	5	8	6	5	8	8	6	13	10	1
2015 Contract Condition		Yes				Yes		Yes		Yes		Yes
Action		Yes				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	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	23	20	25	24	27	22	23	14	21	17
Penetrated Low		14	20	18	20	15	24	17	17	10	17	4
Scenario Percentage		82%	87%	90%	80%	63%	89%	77%	74%	71%	81%	24%
Avg Max Decline		9.37%	7.85%	9.03%	7.70%	9.16%	7.89%	6.73%	6.62%	8.84%	5.15%	3.69%
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	18	20	19	14	18	20	15	4
Avg Max Increase		-2.80%	-2.69%	-1.98%	-1.47%	-2.06%	-3.30%	-1.99%	-1.86%	-1.87%	-2.75%	0.72%
Max Increase		-11.54%	-11.40%	-10.21%	-7.07%	-5.90%	-6.59%	-6.33%	-5.68%	-9.86%	-10.20%	-0.42%
Avg Days to Max Increase		14	8	9	4	12	15	6	9	13	7	2
2015 Contract Condition			Yes	Yes	Yes		Yes		Yes		Yes
Action			Yes	Yes	Yes		Yes		Yes		Not Yet
High	80.25	83.00	83.77	79.09	75.00	68.00	67.79	63.82	63.70	62.84	61.25	67.55
Low	78.19	79.05	77.00	74.76	63.26	62.70	60.28	59.65	58.53	58.97	57.05	58.88
Close/Last	79.86	82.69	77.77	74.95	63.51	67.01	60.45	62.92	60.08	60.27	59.36	64.73