MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of Jan 01, 2019
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		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		27	20	25	20	20	17	24	22	31	22	27
Exceeded High		20	16	19	16	13	13	15	19	26	16	18
Scenario Percentage		74%	80%	76%	80%	65%	76%	63%	86%	84%	73%	67%
Avg Max Increase		6.98%	11.58%	11.04%	11.48%	14.13%	11.57%	8.85%	11.15%	10.34%	8.20%	4.75%
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	20	16	18	18	21	17	8	4
Avg Max Decline		-2.67%	-2.50%	-1.86%	-2.09%	-2.71%	-2.78%	-1.91%	-2.42%	-2.94%	-3.04%	-0.41%
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	7	6	5	9	9	7	12	9	1
2018 Contract Condition		Yes			Yes	Yes		Yes	Yes	Yes		Yes
Action		No			Yes	Yes		Yes	Yes	Yes		Yes

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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		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		16	25	20	25	25	28	21	23	14	22	18
Penetrated Low		14	22	19	21	16	24	16	17	10	18	5
Scenario Percentage		88%	88%	95%	84%	64%	86%	76%	74%	71%	82%	28%
Avg Max Decline		9.37%	7.64%	8.69%	7.69%	8.83%	7.85%	6.93%	6.69%	8.84%	5.30%	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	19	19	14	19	20	14	3
Avg Max Increase		-2.80%	-2.73%	-1.94%	-1.57%	-2.11%	-3.25%	-2.10%	-2.07%	-1.87%	-2.94%	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	8	9	5	11	14	6	10	13	7	2
2018 Contract Condition			Yes	Yes			Yes				Yes
Action			Yes	Yes			Yes				Yes
High	75.57	74.75	74.61	73.24	69.15	70.83	74.20	69.46	73.46	79.45	84.65	81.76
Low	72.86	72.46	72.00	66.28	65.94	66.50	67.30	66.75	68.06	72.10	76.52	75.11
Close/Last	73.75	74.20	72.42	67.57	68.25	70.11	67.78	68.34	72.81	78.63	77.28	81.65