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

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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		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