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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, 2015
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   23 20 23 20 30 22 28 25 26 22 26
Exceeded High   15 17 14 17 26 18 25 15 19 15 11
Scenario Percentage   65% 85% 61% 85% 87% 82% 89% 60% 73% 68% 42%
Avg Max Increase   11.56% 9.92% 8.10% 10.10% 10.60% 10.88% 8.65% 11.64% 9.72% 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   15 19 15 23 21 14 21 21 18 11 6
Avg Max Decline   -1.70% -2.52% -0.80% -1.84% -2.35% -1.89% -2.43% -2.19% -3.02% -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 10 3 6 13 6 11 7 10 5 1
2014 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes    
Action   Yes Yes     Yes Yes Yes No Yes    
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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   21 25 22 25 15 23 17 20 19 23 19
Penetrated Low   12 21 16 18 13 20 15 16 17 18 15
Scenario Percentage   57% 84% 73% 72% 87% 87% 88% 80% 89% 78% 79%
Avg Max Decline   10.27% 8.12% 6.74% 5.72% 7.70% 6.71% 7.37% 8.28% 11.65% 8.77% 4.90%
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   20 20 16 17 18 16 18 15 16 8 5
Avg Max Increase   -1.62% -2.72% -2.03% -1.38% -1.56% -2.52% -2.85% -3.16% -3.40% -2.19% -1.17%
Max Increase   -3.85% -5.90% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -5.98% -2.89%
Avg Days to Max Increase   13 13 7 8 13 11 10 11 11 9 2
2014 Contract Condition       Yes Yes           Yes Yes
Action       Yes No           Yes Yes
High 84.91 86.62 86.20 87.02 81.55 84.39 88.00 89.84 96.76 94.58 95.10 91.43
Low 80.94 81.50 81.88 80.40 77.74 78.62 82.39 85.00 86.30 90.02 83.86 79.10
Close/Last 82.53 82.66 86.16 80.50 80.30 83.98 85.94 86.89 93.55 94.29 86.27 79.21

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