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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 44 44 44 45 45 45 45 45 45 45 45
Closed Higher 22 21 19 20 21 23 25 20 24 19 24
Exceeded High 17 16 14 15 11 19 20 15 21 13 13
Scenario Percentage 77% 76% 74% 75% 52% 83% 80% 75% 88% 68% 54%
Avg Max Increase 9.17% 10.65% 9.39% 7.11% 8.85% 9.63% 8.24% 6.95% 10.09% 8.69% 2.34%
Max Increase 52.50% 42.15% 38.49% 21.82% 22.01% 25.51% 19.05% 21.21% 36.94% 27.61% 6.56%
Avg Days To Max Increase 18 22 18 21 18 22 19 15 22 13 5
Avg Max Decline -1.53% -1.50% -2.72% -1.98% -1.32% -1.42% -2.25% -3.40% -3.22% -2.60% -0.76%
Max Decline -9.69% -5.81% -13.33% -9.66% -4.96% -6.54% -5.25% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline 7 6 9 12 3 4 13 11 11 7 1
2007 Contract Condition   Yes Yes     Yes Yes        
Action   Yes No     Yes No        
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 44 44 44 45 45 45 45 45 45 45 45
Closed Lower 21 22 24 24 24 22 18 25 21 25 21
Penetrated Low 17 20 17 19 16 16 14 19 19 17 12
Scenario Percentage 81% 91% 71% 79% 67% 73% 78% 76% 90% 68% 57%
Avg Max Decline 7.28% 5.77% 6.70% 7.09% 5.73% 6.46% 8.11% 7.67% 7.17% 6.45% 15.11%
Max Decline 19.46% 14.63% 26.09% 20.84% 19.26% 14.18% 19.01% 26.28% 18.50% 15.08% 38.03%
Avg Days To Max Decline 16 16 19 18 13 19 17 18 21 12 10
Avg Max Increase -2.10% -1.22% -1.73% -2.54% -1.41% -1.33% -1.42% -2.68% -2.98% -2.16% -1.91%
Max Increase -10.38% -4.15% -4.49% -5.96% -6.18% -4.69% -8.98% -9.54% -12.01% -7.54% -7.14%
Avg Days to Max Increase 12 3 11 12 5 10 10 12 9 9 2
2007 Contract Condition Yes     Yes Yes     Yes Yes Yes Yes
Action Yes     Yes Yes     Yes Yes Yes Yes
High 61.98 59.75 60.65 59.10 55.38 55.80 57.50 56.30 55.50 54.75 53.81
Low 56.95 55.25 58.20 55.15 52.75 52.22 53.86 53.80 51.45 52.90 47.17
Close/Last 57.78 59.20 59.65 55.20 54.43 54.75 56.99 55.11 53.82 53.57 47.25

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