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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Dec 30, 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   23 18 23 21 31 21 27 26 27 21 26
Exceeded High   14 16 14 18 26 17 24 16 20 15 10
Scenario Percentage   61% 89% 61% 86% 84% 81% 89% 62% 74% 71% 38%
Avg Max Increase   12.05% 10.07% 8.28% 9.74% 10.76% 11.31% 9.01% 11.60% 8.93% 11.01% 3.75%
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 16 23 21 15 22 21 17 9 3
Avg Max Decline   -1.82% -2.53% -1.13% -1.72% -2.48% -1.96% -2.62% -2.09% -3.22% -2.55% -0.58%
Max Decline   -4.46% -8.94% -5.00% -6.60% -10.31% -4.01% -10.16% -6.25% -9.31% -7.63% -2.10%
Avg Days to Max Decline   7 11 4 5 13 6 11 7 10 5 1
2016 Contract Condition       Yes Yes Yes     Yes Yes Yes  
Action       Yes Yes No     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   21 27 22 24 14 24 18 19 18 24 19
Penetrated Low   13 22 16 17 12 20 16 15 16 18 10
Scenario Percentage   62% 81% 73% 71% 86% 83% 89% 79% 89% 75% 53%
Avg Max Decline   9.82% 7.87% 6.74% 5.84% 7.97% 7.14% 7.11% 8.55% 12.29% 8.43% 3.44%
Max Decline   34.26% 37.42% 20.70% 12.35% 19.61% 24.91% 15.91% 21.57% 26.06% 19.26% 5.37%
Avg Days To Max Decline   20 20 16 18 19 16 17 15 16 10 4
Avg Max Increase   -1.63% -2.82% -2.03% -1.58% -1.67% -2.52% -2.70% -3.25% -3.56% -2.15% -0.64%
Max Increase   -3.85% -5.90% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -5.98% -2.18%
Avg Days to Max Increase   13 14 7 10 13 11 10 12 11 6 2
2016 Contract Condition   Yes Yes       Yes Yes       Yes
Action   Yes No       Yes No       Not Yet
High 67.59 66.50 64.40 65.00 64.97 66.31 64.92 63.00 58.81 64.75 64.65 66.50
Low 64.00 61.85 60.46 60.68 62.70 64.10 61.77 54.33 55.46 57.99 60.25 62.30
Close/Last 64.78 63.23 61.15 63.95 63.98 64.79 61.93 56.26 58.31 63.77 63.94 62.82

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