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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Cotton(ICE) as of Sep 16, 2022
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 19 23 20 20 17 27 22 32 23 25
Exceeded High   20 15 17 17 13 14 19 18 28 17 16
Scenario Percentage   74% 79% 74% 85% 65% 82% 70% 82% 88% 74% 64%
Avg Max Increase   5.97% 8.38% 8.64% 8.81% 15.68% 12.64% 8.54% 10.76% 10.82% 8.53% 4.87%
Max Increase   20.21% 20.37% 28.56% 43.20% 47.88% 51.25% 32.10% 25.12% 45.72% 34.77% 16.96%
Avg Days To Max Increase   18 16 18 19 17 19 19 21 17 9 5
Avg Max Decline   -2.53% -2.76% -1.86% -1.99% -2.02% -2.16% -1.75% -2.33% -2.75% -2.99% -0.46%
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 5 9 9 6 7 8 7 11 8 1
2022 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes Yes  
Action   Yes   Yes 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 26 22 25 25 28 18 23 13 21 20
Penetrated Low   14 22 21 21 16 24 15 16 10 18 6
Scenario Percentage   88% 85% 95% 84% 64% 86% 83% 70% 77% 86% 30%
Avg Max Decline   9.37% 7.91% 8.66% 7.95% 8.28% 6.99% 6.14% 5.69% 8.12% 5.44% 3.18%
Max Decline   23.97% 26.76% 19.28% 25.15% 35.57% 36.47% 19.16% 11.68% 17.31% 16.07% 4.67%
Avg Days To Max Decline   21 19 14 19 18 18 13 18 20 14 4
Avg Max Increase   -2.80% -2.84% -2.28% -1.58% -2.00% -3.21% -2.13% -2.15% -2.28% -2.61% -0.40%
Max Increase   -11.54% -11.40% -10.21% -7.07% -5.90% -6.59% -6.33% -5.68% -9.86% -10.20% -4.43%
Avg Days to Max Increase   14 10 9 5 12 14 6 10 16 8 1
2022 Contract Condition     Yes           Yes     Yes
Action     No           Yes     Yes
High 85.83 86.42 86.09 88.25 90.45 95.39 104.20 113.18 118.50 115.33 127.71 129.37
Low 75.34 77.57 80.80 83.28 84.81 88.70 88.36 100.38 106.41 102.50 112.76 119.70
Close/Last 80.00 84.31 83.31 84.71 89.07 91.77 103.88 111.22 106.41 112.60 127.57 122.57

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