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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, 2016
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   24 19 23 20 31 22 28 25 27 21 26
Exceeded High   15 16 14 17 27 18 25 15 20 14 12
Scenario Percentage   63% 84% 61% 85% 87% 82% 89% 60% 74% 67% 46%
Avg Max Increase   11.56% 10.07% 8.03% 10.10% 10.48% 10.88% 8.76% 11.64% 9.25% 11.64% 4.21%
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 20 15 23 21 14 22 21 17 10 6
Avg Max Decline   -1.70% -2.53% -1.00% -1.84% -2.45% -1.89% -2.62% -2.19% -3.03% -2.61% -0.71%
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 9 5 1
2015 Contract Condition   Yes   Yes   Yes   Yes   Yes   Yes
Action   No   Yes   Yes   Yes   Yes   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   20 26 22 25 14 23 17 20 18 24 19
Penetrated Low   12 22 16 18 12 19 15 15 16 19 15
Scenario Percentage   60% 85% 73% 72% 86% 83% 88% 75% 89% 79% 79%
Avg Max Decline   10.27% 7.87% 6.74% 5.63% 7.97% 6.96% 7.37% 8.55% 12.29% 8.46% 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 18 19 17 18 15 16 9 5
Avg Max Increase   -1.62% -2.82% -2.03% -1.51% -1.67% -2.56% -2.85% -3.25% -3.56% -2.21% -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 14 7 9 13 11 10 12 11 9 2
2015 Contract Condition     Yes   Yes   Yes   Yes   Yes  
Action     Yes   Yes   No   No   Yes  
High 76.84 70.08 68.50 65.07 65.08 63.94 62.61 66.54 65.47 68.07 68.13 67.51
Low 65.65 65.02 61.75 61.32 60.37 60.70 58.87 60.46 60.50 62.35 63.03 62.50
Close/Last 65.87 68.96 62.00 64.61 61.84 62.00 60.85 65.22 63.46 67.88 64.35 67.51

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