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

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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