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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, 2019
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 17 24 21 30 21 27 25 27 21 25
Exceeded High   15 15 15 18 25 17 24 15 20 15 11
Scenario Percentage   63% 88% 63% 86% 83% 81% 89% 60% 74% 71% 44%
Avg Max Increase   11.59% 9.71% 7.74% 9.35% 10.73% 10.85% 7.24% 10.53% 9.51% 10.17% 3.47%
Max Increase   38.43% 44.56% 25.54% 24.15% 55.11% 35.33% 16.56% 35.75% 35.29% 34.98% 7.76%
Avg Days To Max Increase   15 19 17 23 20 14 20 21 16 10 6
Avg Max Decline   -1.72% -2.47% -1.05% -1.81% -2.61% -1.81% -2.47% -2.34% -3.08% -2.47% -0.80%
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 8 4 6 13 7 11 7 10 4 1
2018 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes  
Action   Yes   Yes 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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 28 21 24 15 24 18 20 18 24 20
Penetrated Low   14 23 15 17 12 20 16 16 16 19 13
Scenario Percentage   67% 82% 71% 71% 80% 83% 89% 80% 89% 79% 65%
Avg Max Decline   9.13% 7.58% 7.04% 5.84% 7.97% 7.14% 7.11% 8.26% 12.29% 8.45% 4.84%
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   19 19 16 18 19 17 17 14 16 10 5
Avg Max Increase   -1.74% -2.70% -2.10% -1.58% -1.67% -2.68% -2.70% -3.13% -3.56% -2.21% -1.12%
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   12 13 7 10 13 11 10 11 11 7 2
2018 Contract Condition     Yes       Yes   Yes     Yes
Action     Yes       Yes   Yes     Not Yet
High 69.98 71.39 74.50 70.99 74.17 79.50 84.75 83.36 85.83 85.39 96.40 96.50
Low 67.10 67.76 68.50 68.10 69.84 73.20 77.95 77.46 81.08 78.55 83.36 83.01
Close/Last 69.03 70.89 68.81 70.16 73.83 79.24 79.05 83.29 81.80 83.84 93.15 85.38

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