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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cotton(ICE) as of Oct 20, 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 24 20 19 17 25 22 30 23 27
Exceeded High   20 16 18 16 12 13 16 18 26 16 18
Scenario Percentage   74% 80% 75% 80% 63% 76% 64% 82% 87% 70% 67%
Avg Max Increase   7.03% 9.74% 8.63% 8.78% 14.80% 11.57% 8.59% 10.35% 10.34% 7.78% 4.38%
Max Increase   27.66% 30.15% 28.56% 43.20% 47.88% 51.25% 32.10% 25.12% 45.72% 29.29% 16.96%
Avg Days To Max Increase   19 16 18 19 15 18 17 20 17 7 3
Avg Max Decline   -2.40% -2.60% -1.85% -2.15% -2.01% -2.78% -1.81% -2.48% -2.94% -3.04% -0.41%
Max Decline   -9.75% -8.56% -10.52% -6.21% -5.29% -10.44% -7.74% -6.83% -11.97% -7.71% -7.38%
Avg Days to Max Decline   15 4 7 6 5 9 8 7 12 9 1
2019 Contract Condition   Yes Yes   Yes     Yes Yes   Yes  
Action   Yes Yes   Yes     Yes No   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   16 25 21 25 26 28 20 23 15 21 18
Penetrated Low   14 22 20 21 17 24 16 17 11 17 5
Scenario Percentage   88% 88% 95% 84% 65% 86% 80% 74% 73% 81% 28%
Avg Max Decline   9.37% 7.64% 8.42% 7.69% 8.74% 6.99% 6.93% 6.69% 8.38% 5.10% 3.04%
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 18 18 14 19 19 14 3
Avg Max Increase   -2.80% -2.73% -2.21% -1.57% -2.11% -3.21% -2.10% -2.07% -2.04% -2.63% 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 10 5 11 14 6 10 15 7 2
2019 Contract Condition       Yes   Yes Yes     Yes   Yes
Action       Yes   Yes Yes     Yes   Not Yet
High 79.02 79.74 93.35 94.50 89.74 89.84 84.22 81.57 82.00 81.85 74.85 74.73
Low 77.01 76.50 78.30 83.07 81.56 80.92 77.22 76.50 77.18 71.87 70.65 69.53
Close/Last 77.82 78.61 90.86 83.66 89.50 82.58 77.29 78.30 78.91 72.20 74.40 71.74

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