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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, 2013
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 20 19 19 24 21 28 21 25 21 24
Exceeded High   17 15 14 15 14 17 24 16 23 14 14
Scenario Percentage   77% 75% 74% 79% 58% 81% 86% 76% 92% 67% 58%
Avg Max Increase   9.51% 11.66% 12.85% 11.28% 9.41% 10.53% 10.60% 10.74% 9.84% 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 22 17 20 18 22 19 14 21 12 5
Avg Max Decline   -1.55% -1.49% -2.81% -2.59% -1.84% -1.79% -2.71% -3.32% -3.03% -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 14 11 12 7 1
2012 Contract Condition       Yes   Yes   Yes Yes   Yes  
Action       Yes   No   Yes No   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 24 24 26 21 24 16 24 20 24 21
Penetrated Low   17 21 15 21 15 17 13 20 18 18 10
Scenario Percentage   81% 88% 63% 81% 71% 71% 81% 83% 90% 75% 48%
Avg Max Decline   8.30% 6.65% 9.67% 8.58% 7.33% 6.45% 8.63% 7.49% 7.82% 6.35% 5.02%
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   15 16 20 19 15 18 19 17 21 12 6
Avg Max Increase   -2.02% -1.17% -1.72% -2.71% -1.86% -1.51% -1.63% -2.66% -3.24% -2.96% -0.76%
Max Increase   -10.38% -4.15% -4.49% -6.20% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   10 3 10 12 6 9 11 11 11 9 2
2012 Contract Condition   Yes Yes   Yes   Yes     Yes   Yes
Action   Yes No   Yes   Yes     Yes   Yes
High 119.21 122.24 107.82 103.50 109.50 101.98 100.68 93.54 99.54 98.56 94.39 93.80
Low 104.01 103.77 90.89 91.21 94.51 94.50 87.80 84.23 91.62 89.01 87.00 85.11
Close/Last 119.21 107.07 98.46 101.77 96.03 100.07 90.39 91.68 94.51 90.44 93.52 87.25

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