MRCI's ScenarioSM Study

ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2015
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		20	20	19	20	23	20	30	23	27	23	25
Exceeded High		15	15	14	16	13	17	26	18	25	14	15
Scenario Percentage		75%	75%	74%	80%	57%	85%	87%	78%	93%	61%	60%
Avg Max Increase		9.11%	11.29%	12.40%	10.63%	9.00%	11.09%	10.57%	10.97%	9.92%	9.92%	2.63%
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		17	21	15	19	17	23	20	15	21	12	4
Avg Max Decline		-1.74%	-1.64%	-2.75%	-2.52%	-1.95%	-1.88%	-2.65%	-3.14%	-2.85%	-2.52%	-0.66%
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		8	6	7	10	6	5	14	11	11	7	1
2014 Contract Condition			Yes		Yes			Yes	Yes	Yes	Yes	Yes
Action			Yes		Yes			Yes	Yes	Yes	Not Yet	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		23	24	24	25	22	25	14	22	18	22	20
Penetrated Low		17	20	15	21	16	17	11	18	16	16	9
Scenario Percentage		74%	83%	63%	84%	73%	68%	79%	82%	89%	73%	45%
Avg Max Decline		8.30%	6.57%	9.18%	8.42%	7.02%	6.45%	8.12%	7.13%	7.82%	6.10%	5.27%
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	18	15	18	20	17	20	11	5
Avg Max Increase		-2.02%	-1.02%	-2.11%	-2.79%	-1.87%	-1.51%	-1.50%	-2.88%	-3.54%	-2.89%	-0.81%
Max Increase		-10.38%	-3.51%	-5.87%	-6.20%	-6.18%	-4.69%	-8.98%	-9.54%	-12.01%	-13.86%	-1.95%
Avg Days to Max Increase		10	3	12	13	5	9	12	12	12	9	2
2014 Contract Condition		Yes		Yes		Yes	Yes
Action		No		Yes		Yes	No
High	86.80	89.04	85.22	88.32	86.84	87.54	81.05	84.83	88.62	90.44	97.35	94.60
Low	82.66	81.00	81.27	81.80	81.83	79.81	77.18	78.73	82.60	85.34	86.82	88.63
Close/Last	83.03	81.86	82.98	82.69	86.80	79.89	79.85	84.40	86.33	87.14	93.52	94.14