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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Jan 01, 2014
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 19 23 20 30 21 27 24 25 22 26
Exceeded High   14 16 14 17 25 17 24 15 18 15 11
Scenario Percentage   64% 84% 61% 85% 83% 81% 89% 63% 72% 68% 42%
Avg Max Increase   12.00% 10.48% 8.10% 10.10% 10.75% 10.78% 8.53% 11.64% 10.21% 10.98% 4.59%
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   16 20 15 23 20 14 21 21 19 11 6
Avg Max Decline   -1.76% -2.59% -0.80% -1.84% -2.37% -1.94% -2.51% -2.19% -3.16% -2.55% -0.59%
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 6 13 6 12 7 10 5 1
2013 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   22 26 22 25 15 24 18 21 20 23 19
Penetrated Low   13 22 16 19 13 21 16 17 18 18 14
Scenario Percentage   59% 85% 73% 76% 87% 88% 89% 81% 90% 78% 74%
Avg Max Decline   10.22% 7.97% 6.68% 5.75% 7.70% 6.64% 7.29% 8.06% 11.32% 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 18 15 16 9 5
Avg Max Increase   -1.48% -2.75% -1.99% -1.53% -1.56% -2.42% -2.66% -2.95% -3.28% -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 13 7 8 13 11 10 11 10 8 2
2013 Contract Condition     Yes Yes           Yes Yes  
Action     Yes Yes           Yes Not Yet  
High 76.00 79.33 79.85 77.68 75.30 78.11 83.61 86.39 94.20 91.15 88.40 92.58
Low 72.14 73.06 73.64 73.22 72.15 74.17 75.58 82.21 84.94 82.84 79.30 79.32
Close/Last 74.46 79.33 73.91 73.72 74.92 76.87 83.44 85.94 89.81 87.47 79.36 82.71

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