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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, 2019
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 21 20 17 24 20 31 22 27 23 26
Exceeded High   15 16 14 14 16 17 26 17 25 14 15
Scenario Percentage   75% 76% 70% 82% 67% 85% 84% 77% 93% 61% 58%
Avg Max Increase   10.23% 10.88% 12.45% 10.34% 7.60% 10.36% 10.55% 11.01% 8.42% 8.85% 2.86%
Max Increase   52.50% 42.15% 44.70% 47.39% 25.88% 25.51% 51.83% 34.64% 18.77% 26.32% 9.74%
Avg Days To Max Increase   16 20 15 19 17 23 19 14 20 12 5
Avg Max Decline   -1.75% -1.76% -2.75% -2.59% -1.86% -2.03% -2.81% -3.12% -3.15% -2.78% -0.72%
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 9 6 7 13 11 13 7 1
2018 Contract Condition     Yes Yes   Yes Yes Yes   Yes   Yes
Action     Yes Yes   Yes Yes Yes   Yes   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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   24 24 25 28 21 25 13 23 18 22 19
Penetrated Low   19 20 16 23 15 17 10 18 16 17 9
Scenario Percentage   79% 83% 64% 82% 71% 68% 77% 78% 89% 77% 47%
Avg Max Decline   8.40% 7.07% 8.90% 7.87% 7.27% 6.43% 8.51% 7.57% 7.72% 6.44% 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 17 19 10 6
Avg Max Increase   -1.85% -1.39% -2.10% -2.79% -1.96% -1.86% -1.60% -3.07% -3.53% -3.21% -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 13 5 10 13 11 10 9 2
2018 Contract Condition   Yes     Yes       Yes   Yes  
Action   Yes     Yes       Yes   Yes  
High 74.50 73.46 69.53 71.10 74.27 70.40 74.01 79.39 84.45 83.05 86.60 86.44
Low 72.30 66.81 66.55 67.13 67.95 67.52 69.14 72.78 77.53 76.44 80.67 78.62
Close/Last 72.74 68.10 68.58 70.54 68.35 69.42 73.48 78.96 78.36 82.93 81.46 84.68

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