MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of Dec 30, 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		26	20	24	19	19	18	23	22	32	22	27
Exceeded High		20	15	18	15	12	14	14	19	27	16	18
Scenario Percentage		77%	75%	75%	79%	63%	78%	61%	86%	84%	73%	67%
Avg Max Increase		7.33%	11.21%	10.49%	11.84%	14.82%	12.10%	9.50%	11.90%	10.19%	8.44%	4.50%
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	19	21	16	18	18	21	18	9	5
Avg Max Decline		-2.56%	-2.57%	-1.96%	-1.99%	-2.90%	-2.74%	-2.06%	-2.27%	-2.89%	-3.26%	-0.50%
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		16	5	8	6	6	8	9	6	13	10	1
2016 Contract Condition		Yes		Yes				Yes		Yes
Action		Yes		Yes				Yes		No

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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		16	24	20	25	25	27	22	23	13	22	18
Penetrated Low		14	21	18	21	16	23	17	17	10	18	5
Scenario Percentage		88%	88%	90%	84%	64%	85%	77%	74%	77%	82%	28%
Avg Max Decline		9.37%	7.58%	9.03%	7.69%	8.90%	8.12%	6.73%	6.69%	8.84%	5.24%	3.28%
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	19	14	18	20	19	14	19	20	14	3
Avg Max Increase		-2.80%	-2.80%	-1.98%	-1.57%	-2.07%	-3.30%	-1.99%	-2.07%	-1.87%	-2.73%	0.41%
Max Increase		-11.54%	-11.40%	-10.21%	-7.07%	-5.90%	-6.59%	-6.33%	-5.68%	-9.86%	-10.20%	-0.83%
Avg Days to Max Increase		14	9	9	5	12	14	6	10	13	7	2
2016 Contract Condition			Yes		Yes	Yes	Yes		Yes		Yes	Yes
Action			Yes		Yes	Yes	No		Yes		Yes	Not Yet
High	65.99	66.40	66.64	67.40	67.90	66.50	63.93	64.50	64.16	65.23	63.55	62.59
Low	62.34	63.15	64.15	63.39	63.23	61.19	59.45	59.81	61.45	62.73	60.67	56.97
Close/Last	64.50	66.11	64.64	67.29	64.20	62.58	60.31	63.00	62.64	63.28	61.13	58.01