MRCI's ScenarioSM Study

ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	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		23	21	19	20	22	22	25	21	24	19	24
Exceeded High		18	16	14	15	12	18	20	16	22	13	13
Scenario Percentage		78%	76%	74%	75%	55%	82%	80%	76%	92%	68%	54%
Avg Max Increase		9.06%	10.65%	9.39%	7.22%	8.24%	10.08%	8.99%	8.59%	10.40%	8.66%	2.22%
Max Increase		52.50%	42.15%	38.49%	21.82%	22.01%	25.51%	19.05%	33.23%	36.94%	27.61%	6.09%
Avg Days To Max Increase		18	22	18	20	17	22	19	15	21	13	4
Avg Max Decline		-1.49%	-1.50%	-2.72%	-2.10%	-1.29%	-1.49%	-2.27%	-3.33%	-2.93%	-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	14	11	11	7	1
2008 Contract Condition		Yes	Yes		Yes	Yes		Yes	Yes	Yes
Action		Yes	No		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	May	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		20	22	24	24	23	23	18	24	21	26	21
Penetrated Low		16	20	16	19	16	17	14	19	19	17	8
Scenario Percentage		80%	91%	67%	79%	70%	74%	78%	79%	90%	65%	38%
Avg Max Decline		7.68%	5.77%	7.06%	7.09%	5.73%	6.13%	8.11%	7.67%	7.17%	5.95%	3.98%
Max Decline		19.46%	14.63%	26.09%	20.84%	19.26%	14.18%	19.01%	26.28%	18.50%	15.08%	9.16%
Avg Days To Max Decline		15	16	20	18	13	18	17	18	21	11	5
Avg Max Increase		-2.18%	-1.22%	-1.78%	-2.54%	-1.41%	-1.31%	-1.42%	-2.68%	-2.98%	-2.54%	-0.59%
Max Increase		-10.38%	-4.15%	-4.49%	-5.96%	-6.18%	-4.69%	-8.98%	-9.54%	-12.01%	-13.86%	-1.95%
Avg Days to Max Increase		11	3	10	12	5	9	10	12	9	9	2
2008 Contract Condition				Yes			Yes				Yes	Yes
Action				No			Yes				Yes	Yes
High	60.50	67.60	72.17	68.95	71.17	71.00	71.27	69.60	74.64	82.33	92.86	78.95
Low	55.65	59.49	65.85	61.25	63.95	67.20	64.71	64.58	68.41	68.05	69.02	67.31
Close/Last	60.45	67.30	69.10	65.50	69.75	70.20	65.18	69.57	69.70	81.86	69.34	68.74