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