MRCI's ScenarioSM Study

ScenarioSM Study for May Cotton(ICE) as of Jan 01, 2016
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		19	20	20	19	23	20	31	23	28	23	26
Exceeded High		14	15	14	15	14	17	27	18	26	14	15
Scenario Percentage		74%	75%	70%	79%	61%	85%	87%	78%	93%	61%	58%
Avg Max Increase		9.62%	11.29%	12.40%	10.93%	8.43%	11.09%	10.50%	10.97%	9.73%	9.88%	2.60%
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	15	20	17	23	20	15	21	12	4
Avg Max Decline		-1.89%	-1.64%	-2.75%	-2.69%	-2.01%	-1.88%	-2.74%	-3.14%	-3.05%	-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	11	5	5	14	11	12	7	1
2015 Contract Condition				Yes		Yes		Yes		Yes		Yes
Action				No		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		24	24	24	26	22	25	13	22	17	22	19
Penetrated Low		18	20	15	22	16	17	10	17	15	15	8
Scenario Percentage		75%	83%	63%	85%	73%	68%	77%	77%	88%	68%	42%
Avg Max Decline		8.74%	6.79%	9.18%	8.18%	7.02%	6.36%	8.51%	7.41%	8.01%	6.03%	5.23%
Max Decline		19.46%	24.24%	34.92%	36.84%	20.01%	14.18%	19.01%	26.28%	18.50%	14.24%	13.97%
Avg Days To Max Decline		14	16	20	18	15	18	21	17	20	10	4
Avg Max Increase		-1.90%	-1.28%	-2.11%	-2.90%	-1.87%	-1.66%	-1.60%	-2.94%	-3.74%	-3.02%	-0.72%
Max Increase		-10.38%	-6.93%	-5.87%	-6.20%	-6.18%	-4.69%	-8.98%	-9.54%	-12.01%	-13.86%	-1.95%
Avg Days to Max Increase		10	4	12	14	5	10	13	12	10	9	1
2015 Contract Condition		Yes	Yes		Yes		Yes		Yes		Yes
Action		Yes	Yes		Yes		Yes		No		Not Yet
High	83.43	79.90	75.92	69.14	68.11	64.42	64.48	63.40	61.78	66.24	65.03	68.12
Low	78.12	75.94	64.43	63.82	61.05	60.50	59.36	59.83	57.95	59.59	59.83	62.20
Close/Last	78.89	76.08	64.66	68.14	61.25	63.80	60.95	61.07	60.02	64.93	63.10	68.12