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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cotton(ICE) as of Sep 22, 2023
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 27 22 31 22 24 25 26 21 24
Exceeded High   15 15 19 18 26 18 21 16 19 15 8
Scenario Percentage   63% 88% 70% 82% 84% 82% 88% 64% 73% 71% 33%
Avg Max Increase   12.43% 11.39% 7.51% 8.81% 11.41% 11.52% 7.10% 10.65% 8.59% 8.36% 2.17%
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   17 18 18 24 20 14 20 20 15 10 3
Avg Max Decline   -1.75% -1.88% -1.03% -1.92% -2.39% -2.12% -2.73% -2.27% -3.26% -2.50% -0.75%
Max Decline   -4.46% -4.87% -5.00% -6.60% -10.31% -6.34% -10.16% -6.25% -9.31% -7.63% -2.10%
Avg Days to Max Decline   7 6 5 7 12 7 12 6 9 4 1
2023 Contract Condition   Yes     Yes Yes Yes       Yes  
Action   No     Yes Yes 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   21 28 18 23 14 23 21 20 19 24 21
Penetrated Low   14 23 13 15 12 20 18 15 17 19 10
Scenario Percentage   67% 82% 72% 65% 86% 87% 86% 75% 89% 79% 48%
Avg Max Decline   8.15% 7.15% 6.41% 5.12% 7.34% 7.74% 7.55% 7.67% 11.84% 9.71% 3.94%
Max Decline   34.26% 37.42% 20.70% 9.00% 19.61% 29.40% 22.68% 15.32% 26.06% 31.87% 8.90%
Avg Days To Max Decline   15 19 16 17 19 17 16 13 17 11 4
Avg Max Increase   -1.63% -2.78% -2.21% -1.72% -2.02% -2.38% -2.72% -2.88% -3.72% -2.49% -1.21%
Max Increase   -3.85% -6.19% -6.33% -4.99% -8.15% -8.91% -10.79% -12.95% -14.94% -6.27% -4.87%
Avg Days to Max Increase   10 13 7 10 16 11 9 11 12 6 1
2023 Contract Condition     Yes Yes       Yes Yes Yes   Yes
Action     Yes No       Yes No Yes   Not Yet
High 90.70 111.08 101.64 85.25 87.00 87.93 89.59 88.37 86.67 85.23 87.98 87.16
Low 75.50 86.22 78.83 70.50 72.33 78.71 80.40 81.70 76.34 77.68 78.56 76.91
Close/Last 90.18 102.54 80.28 71.98 83.28 83.38 87.46 84.46 83.10 80.80 83.48 82.84

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