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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, 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 19 18 23 20 32 22 27 24 26
Exceeded High   14 15 13 15 15 17 27 17 25 15 14
Scenario Percentage   74% 75% 68% 83% 65% 85% 84% 77% 93% 63% 54%
Avg Max Increase   9.61% 11.29% 13.00% 10.93% 8.10% 11.09% 10.50% 11.47% 10.03% 10.15% 2.88%
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 16 20 16 23 20 15 21 13 5
Avg Max Decline   -1.87% -1.64% -2.94% -2.69% -2.02% -1.88% -2.74% -3.27% -3.06% -2.38% -0.71%
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 6 5 14 10 11 7 1
2016 Contract Condition   Yes       Yes   Yes     Yes Yes
Action   Yes       Yes   No     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 25 27 22 25 12 23 18 21 19
Penetrated Low   18 20 16 22 16 17 10 18 16 16 9
Scenario Percentage   75% 83% 64% 81% 73% 68% 83% 78% 89% 76% 47%
Avg Max Decline   8.74% 7.07% 8.90% 8.18% 7.02% 6.43% 8.51% 7.53% 7.72% 6.62% 5.31%
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 17 21 18 15 19 21 16 19 10 6
Avg Max Increase   -1.90% -1.39% -2.10% -2.90% -1.87% -1.86% -1.60% -2.89% -3.53% -3.31% -0.81%
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 5 12 14 5 10 13 11 10 10 2
2016 Contract Condition     Yes Yes Yes   Yes   Yes Yes    
Action     Yes Yes No   Yes   Yes No    
High 66.72 67.18 67.67 66.53 64.19 64.79 64.70 65.80 64.30 62.85 58.89 65.94
Low 64.58 63.99 63.60 61.50 60.00 60.25 62.25 63.46 61.25 54.53 55.64 58.15
Close/Last 65.01 66.90 64.45 62.90 60.76 63.60 63.43 64.11 61.60 56.50 58.44 63.76

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