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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Dec 30, 2011
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   22 21 18 19 23 22 27 20 26 21 24
Exceeded High   17 16 13 15 14 18 23 16 24 14 14
Scenario Percentage   77% 76% 72% 79% 61% 82% 85% 80% 92% 67% 58%
Avg Max Increase   9.51% 11.05% 13.25% 11.28% 9.41% 10.12% 10.69% 10.74% 10.29% 9.95% 2.86%
Max Increase   52.50% 42.15% 44.70% 47.39% 25.88% 25.51% 51.83% 34.64% 36.94% 27.61% 9.74%
Avg Days To Max Increase   18 21 18 20 18 21 19 14 21 12 5
Avg Max Decline   -1.55% -1.47% -2.89% -2.59% -1.84% -1.58% -2.82% -3.32% -2.90% -2.52% -0.62%
Max Decline   -9.69% -5.81% -13.33% -9.66% -8.93% -6.54% -11.48% -9.28% -11.07% -7.60% -2.48%
Avg Days to Max Decline   7 6 8 11 5 5 15 11 12 7 1
2011 Contract Condition       Yes Yes Yes   Yes Yes Yes Yes  
Action       Yes Yes Yes   Yes Yes Yes Not Yet  
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
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   21 23 25 25 22 23 17 25 19 24 21
Penetrated Low   16 21 16 20 16 16 14 20 17 18 9
Scenario Percentage   76% 91% 64% 80% 73% 70% 82% 80% 89% 75% 43%
Avg Max Decline   7.88% 6.65% 9.20% 8.58% 6.87% 6.43% 8.11% 7.49% 7.83% 6.35% 5.23%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 14.18% 19.01% 26.28% 18.50% 15.08% 13.97%
Avg Days To Max Decline   14 16 21 18 14 18 17 17 20 12 6
Avg Max Increase   -2.11% -1.17% -1.79% -2.54% -1.74% -1.38% -1.42% -2.66% -3.30% -2.96% -0.74%
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 11 5 10 10 11 10 9 2
2011 Contract Condition   Yes Yes       Yes         Yes
Action   Yes No       No         Yes
High 80.73 81.16 78.24 85.80 104.46 123.04 147.20 147.39 165.33 208.93 219.70 215.06
Low 76.82 77.47 74.22 76.98 85.00 94.56 106.63 112.27 134.50 161.75 185.00 168.30
Close/Last 80.40 78.43 76.80 85.03 99.87 117.09 112.50 137.61 163.18 191.23 200.23 178.78

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