MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of Jun 08, 2020
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	23	19	19	17	26	22	31	22	26
Exceeded High		20	16	17	16	12	14	17	18	27	15	17
Scenario Percentage		74%	80%	74%	84%	63%	82%	65%	82%	87%	68%	65%
Avg Max Increase		7.03%	9.74%	8.34%	8.78%	14.80%	11.39%	8.43%	10.35%	10.11%	8.56%	4.91%
Max Increase		27.66%	30.15%	28.56%	43.20%	47.88%	51.25%	32.10%	25.12%	45.72%	34.77%	16.96%
Avg Days To Max Increase		19	16	18	19	15	19	18	20	17	9	5
Avg Max Decline		-2.40%	-2.60%	-1.82%	-2.15%	-2.01%	-2.66%	-1.90%	-2.48%	-2.86%	-3.17%	-0.42%
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	8	9	7	12	9	1
2020 Contract Condition		Yes					Yes	Yes		Yes
Action		No					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	22	26	26	28	19	23	14	22	19
Penetrated Low		14	23	21	22	16	24	15	16	11	18	5
Scenario Percentage		88%	92%	95%	85%	62%	86%	79%	70%	79%	82%	26%
Avg Max Decline		9.37%	7.63%	8.66%	7.83%	8.28%	6.99%	6.14%	6.42%	8.38%	5.44%	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	18	14	19	18	18	13	19	19	14	3
Avg Max Increase		-2.80%	-2.69%	-2.28%	-1.51%	-2.00%	-3.21%	-2.13%	-2.17%	-2.04%	-2.61%	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	15	8	2
2020 Contract Condition			Yes	Yes	Yes	Yes			Yes		Yes	Yes
Action			Yes	Yes	Yes	No			No		Yes	Not Yet
High	76.68	78.08	76.15	68.95	69.07	64.90	63.73	67.13	66.93	69.72	71.96	69.03
Low	73.80	75.80	66.60	65.42	62.81	57.65	58.39	60.89	63.70	64.02	67.40	60.70
Close/Last	76.10	76.15	67.74	66.69	64.68	59.44	61.55	65.88	65.36	69.05	67.50	61.59