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MRCI's Scenario Study

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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

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