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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Cotton(ICE) as of Sep 22, 2023
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 21 21 17 27 21 31 23 25 23 25
Exceeded High   13 17 14 15 20 17 27 18 23 15 14
Scenario Percentage   72% 81% 67% 88% 74% 81% 87% 78% 92% 65% 56%
Avg Max Increase   7.14% 8.46% 13.82% 11.45% 7.52% 9.63% 11.20% 11.70% 8.67% 9.06% 2.89%
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   15 18 16 17 18 24 19 15 20 10 5
Avg Max Decline   -1.59% -1.62% -1.94% -2.03% -1.71% -2.18% -2.72% -3.35% -3.35% -2.77% -0.69%
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 9 7 6 6 7 13 11 14 6 1
2023 Contract Condition       Yes     Yes   Yes      
Action       No     Yes   No      
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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 24 24 28 18 24 13 22 20 22 20
Penetrated Low   21 19 15 23 13 16 10 18 18 16 10
Scenario Percentage   81% 79% 63% 82% 72% 67% 77% 82% 90% 73% 50%
Avg Max Decline   8.63% 7.33% 8.40% 7.35% 6.68% 5.45% 7.80% 8.19% 8.02% 6.29% 5.38%
Max Decline   19.46% 24.24% 34.92% 36.84% 20.01% 11.09% 19.01% 28.56% 21.37% 15.08% 13.97%
Avg Days To Max Decline   14 19 18 17 15 18 21 17 18 9 6
Avg Max Increase   -1.89% -1.52% -2.17% -2.94% -2.15% -1.93% -2.01% -2.76% -3.48% -2.88% -0.72%
Max Increase   -10.38% -6.93% -5.87% -6.36% -6.18% -4.69% -8.98% -9.54% -12.01% -13.86% -1.95%
Avg Days to Max Increase   10 5 13 13 6 10 16 12 9 8 2
2023 Contract Condition   Yes Yes   Yes Yes   Yes   Yes Yes Yes
Action   Yes No   Yes No   No   Yes Not Yet Not Yet
High 121.87 117.05 92.56 113.51 107.24 87.31 88.57 88.80 89.31 87.90 86.25 84.93
Low 111.55 85.09 77.33 87.93 80.68 70.40 71.85 78.82 80.46 80.88 75.70 76.22
Close/Last 114.96 92.47 92.03 107.37 82.09 71.85 84.03 83.45 86.95 84.03 82.78 79.03

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