MRCI's ScenarioSM Study

ScenarioSM Study for March Cotton(ICE) as of May 10, 2021
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	27	22	31	22	26
Exceeded High		20	16	17	16	12	14	18	18	27	16	17
Scenario Percentage		74%	80%	74%	84%	63%	82%	67%	82%	87%	73%	65%
Avg Max Increase		7.12%	9.74%	8.38%	8.30%	15.04%	12.09%	8.65%	10.76%	10.66%	8.98%	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	18	18	19	19	21	18	10	5
Avg Max Decline		-2.34%	-2.60%	-1.77%	-2.06%	-1.88%	-2.00%	-1.86%	-2.33%	-2.86%	-3.04%	-0.42%
Max Decline		-9.75%	-8.56%	-10.52%	-6.21%	-5.29%	-5.87%	-7.74%	-6.83%	-11.97%	-7.71%	-7.38%
Avg Days to Max Decline		14	4	9	6	5	7	8	7	12	9	1
2021 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	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	22	26	26	28	18	23	14	22	19
Penetrated Low		14	22	21	22	16	24	15	16	11	18	5
Scenario Percentage		88%	88%	95%	85%	62%	86%	83%	70%	79%	82%	26%
Avg Max Decline		9.37%	7.91%	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	19	14	19	18	18	13	19	19	14	3
Avg Max Increase		-2.80%	-2.84%	-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	10	9	5	12	14	6	10	15	8	2
2021 Contract Condition			Yes
Action			No
High	66.36	60.09	60.20	61.65	65.39	67.22	67.79	73.27	74.27	78.39	83.06	92.95
Low	53.08	51.64	56.30	58.22	60.26	62.90	64.48	65.71	68.91	71.07	78.25	79.80
Close/Last	54.66	59.60	58.48	61.54	63.25	66.05	66.54	69.78	72.15	78.12	80.64	87.82