|
MRCI's ScenarioSM Study |
ScenarioSM Study for July Cotton(ICE) as of Apr 30, 2011 |
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 |
10 |
Scenario Percentage |
|
62% |
80% |
64% |
81% |
79% |
75% |
88% |
68% |
74% |
71% |
40% |
Avg Max Increase |
|
9.99% |
9.00% |
7.18% |
9.58% |
8.73% |
8.93% |
8.19% |
11.64% |
9.92% |
10.25% |
4.45% |
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 |
12 |
3 |
Avg Max Decline |
|
-1.79% |
-2.39% |
-0.92% |
-1.66% |
-2.51% |
-2.09% |
-2.69% |
-2.19% |
-2.93% |
-2.26% |
0.34% |
Max Decline |
|
-4.46% |
-8.94% |
-5.00% |
-6.60% |
-10.31% |
-4.01% |
-10.16% |
-6.25% |
-9.31% |
-7.63% |
-2.07% |
Avg Days to Max Decline |
|
7 |
11 |
3 |
5 |
14 |
8 |
13 |
7 |
10 |
5 |
1 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
Action |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
Not Yet |
|
|
|
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 |
16 |
10 |
Scenario Percentage |
|
61% |
84% |
70% |
75% |
88% |
88% |
84% |
78% |
83% |
76% |
53% |
Avg Max Decline |
|
9.55% |
7.87% |
6.74% |
5.71% |
7.48% |
6.64% |
7.37% |
7.72% |
10.55% |
8.42% |
3.43% |
Max Decline |
|
34.26% |
37.42% |
20.70% |
12.35% |
19.61% |
24.91% |
15.91% |
21.57% |
21.69% |
19.26% |
5.37% |
Avg Days To Max Decline |
|
20 |
19 |
15 |
18 |
17 |
16 |
19 |
15 |
16 |
11 |
4 |
Avg Max Increase |
|
-1.44% |
-2.37% |
-1.98% |
-1.43% |
-1.56% |
-2.42% |
-2.67% |
-2.89% |
-3.79% |
-1.91% |
-0.80% |
Max Increase |
|
-3.85% |
-5.90% |
-6.33% |
-4.99% |
-8.15% |
-8.91% |
-10.79% |
-12.95% |
-14.94% |
-5.22% |
-2.18% |
Avg Days to Max Increase |
|
12 |
11 |
8 |
8 |
13 |
11 |
11 |
10 |
12 |
6 |
2 |
2011 Contract Condition |
|
|
|
|
Yes |
|
|
|
|
Yes |
Yes |
|
Action |
|
|
|
|
No |
|
|
|
|
Not Yet |
|
|
High |
78.53 |
86.15 |
103.50 |
118.50 |
143.11 |
133.93 |
156.70 |
200.56 |
209.97 |
198.81 |
158.50 |
|
Low |
74.87 |
77.86 |
85.35 |
94.18 |
102.00 |
107.80 |
126.52 |
154.59 |
175.15 |
146.50 |
151.11 |
|
Close/Last |
77.47 |
85.60 |
99.00 |
114.00 |
108.08 |
129.30 |
155.15 |
182.59 |
192.90 |
158.02 |
154.45 |
|
|
|
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