MRCI's ScenarioSM Study

ScenarioSM Study for May Cotton(ICE) as of Jan 21, 2022
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		18	20	19	17	27	20	31	22	27	23	25
Exceeded High		13	16	13	15	19	16	27	18	25	14	13
Scenario Percentage		72%	80%	68%	88%	70%	80%	87%	82%	93%	61%	52%
Avg Max Increase		6.82%	7.94%	13.19%	10.92%	7.58%	9.84%	10.94%	11.06%	8.42%	8.46%	2.58%
Max Increase		19.00%	42.15%	44.70%	47.39%	25.88%	23.85%	51.83%	34.64%	18.77%	26.32%	9.74%
Avg Days To Max Increase		14	18	17	18	18	23	20	15	20	10	4
Avg Max Decline		-1.47%	-1.69%	-1.81%	-1.93%	-1.81%	-1.93%	-2.73%	-3.17%	-3.15%	-2.75%	-0.80%
Max Decline		-9.69%	-5.81%	-4.88%	-5.32%	-8.93%	-6.54%	-11.48%	-9.28%	-11.07%	-7.60%	-2.48%
Avg Days to Max Decline		8	6	7	7	6	7	13	10	13	6	1
2021 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	Yes	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		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		26	25	26	28	18	25	13	23	18	22	20
Penetrated Low		21	21	16	23	14	16	11	18	16	17	9
Scenario Percentage		81%	84%	62%	82%	78%	64%	85%	78%	89%	77%	45%
Avg Max Decline		8.34%	7.22%	8.32%	7.01%	6.41%	6.13%	8.05%	8.19%	8.21%	5.84%	5.18%
Max Decline		19.46%	24.24%	34.92%	36.84%	20.01%	14.18%	19.01%	28.56%	21.37%	14.24%	13.97%
Avg Days To Max Decline		14	18	19	16	14	19	20	17	18	9	4
Avg Max Increase		-2.21%	-1.34%	-2.02%	-2.71%	-1.99%	-1.97%	-1.78%	-2.76%	-3.53%	-2.78%	-0.63%
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	11	14	12	10	8	1
2021 Contract Condition											Yes
Action											Not Yet
High	60.71	62.06	65.70	67.72	68.46	73.77	75.08	78.95	83.91	95.60	92.80	90.07
Low	57.35	58.88	61.01	63.46	65.30	66.46	69.71	71.97	78.78	81.06	77.12	77.65
Close/Last	59.38	61.99	63.72	66.75	67.27	70.58	73.05	78.70	81.84	88.83	80.88	87.43