MRCI's ScenarioSM Study

ScenarioSM Study for July Cotton(ICE) as of Jan 21, 2022
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	27	21	30	21	26	25	26	21	24
Exceeded High		15	15	18	17	25	18	23	15	19	15	9
Scenario Percentage		65%	88%	67%	81%	83%	86%	88%	60%	73%	71%	38%
Avg Max Increase		11.77%	10.88%	7.67%	8.88%	11.31%	10.91%	6.97%	10.16%	8.58%	8.42%	2.85%
Max Increase		38.43%	44.56%	25.54%	22.09%	55.11%	35.33%	16.56%	35.75%	22.13%	19.49%	7.68%
Avg Days To Max Increase		16	19	18	23	20	14	20	21	15	10	5
Avg Max Decline		-1.62%	-1.78%	-1.11%	-1.71%	-2.37%	-1.93%	-2.55%	-2.33%	-3.27%	-2.50%	-0.37%
Max Decline		-4.46%	-4.87%	-5.00%	-6.60%	-10.31%	-5.94%	-10.16%	-6.25%	-9.31%	-7.63%	-2.10%
Avg Days to Max Decline		7	7	5	7	12	6	11	6	9	4	1
2021 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	No		No		Not Yet

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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	18	24	15	24	19	20	19	24	21
Penetrated Low		15	23	14	16	13	20	16	16	17	20	12
Scenario Percentage		68%	82%	78%	67%	87%	83%	84%	80%	89%	83%	57%
Avg Max Decline		8.07%	6.86%	6.16%	5.54%	7.60%	7.74%	7.69%	7.25%	12.83%	8.60%	4.35%
Max Decline		34.26%	37.42%	20.70%	12.35%	19.61%	29.40%	22.68%	15.32%	26.06%	19.26%	9.55%
Avg Days To Max Decline		16	18	15	18	18	17	16	13	16	10	4
Avg Max Increase		-1.52%	-2.54%	-2.15%	-1.67%	-1.82%	-2.38%	-2.68%	-2.71%	-3.36%	-2.23%	-0.99%
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		10	13	7	10	15	11	10	10	11	7	2
2021 Contract Condition									Yes		Yes
Action									No		Not Yet
High	66.00	67.97	69.09	74.09	75.62	79.46	84.68	96.22	93.70	91.66	91.00	87.74
Low	61.65	63.95	66.03	67.12	70.40	72.72	79.44	82.01	78.15	78.97	81.50	82.30
Close/Last	64.13	67.27	67.92	71.26	73.75	79.17	82.78	89.71	82.17	88.08	82.12	84.03