MRCI's ScenarioSM Study

ScenarioSM Study for May Cotton(ICE) as of Oct 06, 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