MRCI's ScenarioSM Study

ScenarioSM Study for July Cotton(ICE) as of Oct 20, 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		23	17	25	21	29	22	27	26	26	21	24
Exceeded High		15	15	16	17	24	18	24	16	20	15	10
Scenario Percentage		65%	88%	64%	81%	83%	82%	89%	62%	77%	71%	42%
Avg Max Increase		11.59%	9.71%	7.54%	8.48%	10.93%	10.39%	7.24%	9.97%	9.51%	10.17%	3.16%
Max Increase		38.43%	44.56%	25.54%	22.09%	55.11%	35.33%	16.56%	35.75%	35.29%	34.98%	7.76%
Avg Days To Max Increase		15	19	16	24	21	14	20	20	16	10	6
Avg Max Decline		-1.72%	-2.47%	-1.02%	-1.84%	-2.51%	-2.04%	-2.47%	-2.27%	-3.08%	-2.47%	-0.88%
Max Decline		-4.46%	-8.94%	-5.00%	-6.60%	-10.31%	-5.94%	-10.16%	-6.25%	-9.31%	-7.63%	-2.86%
Avg Days to Max Decline		7	8	4	7	13	7	11	6	10	4	1
2019 Contract Condition				Yes	Yes		Yes		Yes
Action				Yes	No		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		22	28	20	24	16	23	18	19	19	24	21
Penetrated Low		15	23	15	17	13	19	15	15	17	20	13
Scenario Percentage		68%	82%	75%	71%	81%	83%	83%	79%	89%	83%	62%
Avg Max Decline		8.93%	6.86%	7.04%	5.84%	7.60%	6.60%	6.69%	7.37%	12.83%	8.60%	4.84%
Max Decline		34.26%	37.42%	20.70%	12.35%	19.61%	24.91%	15.91%	15.32%	26.06%	19.26%	9.55%
Avg Days To Max Decline		18	18	16	18	18	17	17	13	16	10	5
Avg Max Increase		-1.73%	-2.54%	-2.10%	-1.58%	-1.82%	-2.37%	-2.49%	-2.89%	-3.36%	-2.23%	-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	15	11	10	11	11	7	2
2019 Contract Condition		Yes	Yes			Yes		Yes		Yes	Yes	Yes
Action		Yes	Yes			Yes		No		Yes	Yes	Not Yet
High	89.35	89.44	84.69	83.09	84.11	83.62	77.37	77.16	78.87	79.57	76.87	69.91
Low	82.10	81.90	78.89	78.28	79.65	74.09	73.49	72.33	73.72	76.30	64.50	60.27
Close/Last	89.12	83.36	78.94	80.35	81.00	74.63	76.90	73.99	78.31	76.78	68.08	63.15