MRCI's ScenarioSM Study

ScenarioSM Study for July Cotton(ICE) as of Jan 01, 2013
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		22	20	24	20	29	21	26	23	26	23	26
Exceeded High		14	17	15	16	24	16	23	15	19	16	12
Scenario Percentage		64%	85%	63%	80%	83%	76%	88%	65%	73%	70%	46%
Avg Max Increase		12.53%	11.09%	8.40%	10.00%	10.68%	10.65%	8.49%	11.64%	9.90%	10.53%	4.35%
Max Increase		38.43%	44.56%	25.54%	24.15%	55.11%	35.33%	34.05%	35.75%	35.29%	34.98%	12.36%
Avg Days To Max Increase		18	20	15	23	20	14	21	21	20	11	6
Avg Max Decline		-1.75%	-2.53%	-0.78%	-1.89%	-2.39%	-1.97%	-2.57%	-2.19%	-3.10%	-2.41%	-0.65%
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	10	3	6	13	6	12	7	10	5	1
2012 Contract Condition		Yes		Yes		Yes	Yes		Yes			Yes
Action		Yes		No		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		22	25	21	25	16	24	19	22	19	22	19
Penetrated Low		13	21	15	19	14	21	17	17	17	18	14
Scenario Percentage		59%	84%	71%	76%	88%	88%	89%	77%	89%	82%	74%
Avg Max Decline		10.22%	8.23%	6.99%	5.75%	7.92%	6.64%	7.37%	8.06%	11.43%	8.31%	4.85%
Max Decline		34.26%	37.42%	20.70%	12.35%	19.61%	24.91%	15.91%	21.57%	26.06%	19.26%	9.55%
Avg Days To Max Decline		21	20	16	18	18	16	19	15	15	9	5
Avg Max Increase		-1.48%	-2.64%	-2.08%	-1.53%	-1.66%	-2.42%	-2.63%	-2.95%	-3.41%	-1.90%	-1.34%
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	12	7	8	12	11	10	11	11	8	2
2012 Contract Condition			Yes		Yes			Yes		Yes	Yes
Action			Yes		Yes			Yes		Yes	Yes
High	104.15	101.90	108.50	101.05	100.33	92.85	99.42	99.70	95.12	94.00	89.94	89.48
Low	90.21	91.21	94.25	93.59	87.54	84.01	91.21	90.29	87.53	86.55	70.38	66.10
Close/Last	97.37	100.47	95.54	99.34	89.81	91.31	95.61	91.87	93.92	89.40	71.55	72.16