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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 20 22 21 28 20 25 22 27 24 25
Exceeded High   13 16 14 17 22 15 22 15 20 17 11
Scenario Percentage   62% 80% 64% 81% 79% 75% 88% 68% 74% 71% 44%
Avg Max Increase   9.99% 9.00% 7.18% 9.58% 8.73% 8.93% 8.19% 11.64% 9.92% 10.40% 4.71%
Max Increase   35.61% 20.82% 18.01% 24.15% 17.52% 32.18% 34.05% 35.75% 35.29% 34.98% 12.36%
Avg Days To Max Increase   17 21 16 22 21 14 22 21 20 13 6
Avg Max Decline   -1.79% -2.39% -0.92% -1.66% -2.51% -2.09% -2.69% -2.19% -2.93% -2.26% -0.11%
Max Decline   -4.46% -8.94% -5.00% -6.60% -10.31% -4.01% -10.16% -6.25% -9.31% -7.63% -2.86%
Avg Days to Max Decline   7 11 3 5 14 8 13 7 10 5 2
2010 Contract Condition     Yes Yes Yes Yes   Yes   Yes   Yes
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 25 23 24 17 24 19 23 18 21 19
Penetrated Low   14 21 16 18 15 21 16 18 15 17 13
Scenario Percentage   61% 84% 70% 75% 88% 88% 84% 78% 83% 81% 68%
Avg Max Decline   9.55% 7.87% 6.74% 5.71% 7.48% 6.64% 7.37% 7.72% 10.55% 8.36% 4.41%
Max Decline   34.26% 37.42% 20.70% 12.35% 19.61% 24.91% 15.91% 21.57% 21.69% 19.26% 9.55%
Avg Days To Max Decline   20 19 15 18 17 16 19 15 16 10 5
Avg Max Increase   -1.44% -2.37% -1.98% -1.43% -1.56% -2.42% -2.67% -2.89% -3.79% -1.98% -1.23%
Max Increase   -3.85% -5.90% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -5.22% -2.89%
Avg Days to Max Increase   12 11 8 8 13 11 11 10 12 9 2
2010 Contract Condition   Yes         Yes   Yes   Yes  
Action   No         Yes   No   Yes  
High 69.14 70.00 69.30 73.84 77.21 78.20 78.20 81.98 84.00 87.10 84.30 84.94
Low 63.13 62.31 63.00 65.15 72.68 75.08 71.30 69.04 79.25 79.40 79.80 75.80
Close/Last 64.76 64.63 67.29 73.66 76.52 76.98 71.47 81.93 81.82 84.13 80.05 82.60

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