MRCI's ScenarioSM Study

ScenarioSM Study for October Cotton(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Higher		22	28	24	23	21	24	21	25	19	17	18
Exceeded High		19	21	20	19	16	18	16	17	14	12	9
Scenario Percentage		86%	75%	83%	83%	76%	75%	76%	68%	74%	71%	50%
Avg Max Increase		7.35%	7.93%	8.51%	7.43%	9.51%	8.70%	12.76%	9.74%	9.79%	9.20%	2.62%
Max Increase		23.70%	14.32%	29.88%	31.32%	34.36%	34.82%	36.97%	63.47%	56.45%	35.35%	4.27%
Avg Days To Max Increase		21	20	16	20	19	19	16	17	19	13	5
Avg Max Decline		-1.14%	-1.48%	-1.32%	-1.31%	-1.73%	-2.85%	-1.74%	-1.26%	-2.01%	-3.51%	-0.28%
Max Decline		-3.41%	-10.06%	-3.19%	-6.26%	-8.64%	-10.73%	-7.03%	-6.17%	-5.63%	-8.58%	-1.81%
Avg Days to Max Decline		8	9	8	8	9	13	6	8	8	8	2
2008 Contract Condition			Yes	Yes	Yes				Yes
Action			Yes	Yes	Yes				No

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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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		22	16	21	21	23	21	24	19	25	28	27
Penetrated Low		19	14	18	17	19	15	18	17	24	20	12
Scenario Percentage		86%	88%	86%	81%	83%	71%	75%	89%	96%	71%	44%
Avg Max Decline		4.60%	5.12%	6.60%	6.70%	7.03%	8.82%	8.93%	9.93%	7.97%	7.33%	3.64%
Max Decline		10.02%	14.66%	23.26%	20.32%	19.03%	18.49%	27.01%	17.97%	24.28%	23.65%	8.96%
Avg Days To Max Decline		18	20	17	19	20	18	18	15	19	11	5
Avg Max Increase		-0.86%	-1.55%	-2.08%	-2.37%	-2.61%	-2.85%	-2.99%	-2.28%	-1.25%	-2.27%	-1.94%
Max Increase		-4.37%	-7.65%	-7.79%	-8.68%	-11.33%	-13.52%	-12.42%	-8.87%	-5.02%	-7.57%	-9.01%
Avg Days to Max Increase		6	13	12	15	14	10	11	10	5	8	2
2008 Contract Condition		Yes				Yes	Yes	Yes		Yes	Yes	Yes
Action		No				Yes	Yes	Yes		Yes	Yes	Yes
High	74.40	74.25	73.55	78.39	85.33	96.33	85.50	78.07	80.00	75.38	72.09	68.10
Low	69.80	68.85	68.95	72.72	73.20	75.10	75.30	70.70	68.35	68.00	64.52	54.25
Close/Last	73.90	68.85	73.45	74.17	85.33	76.80	76.42	71.16	75.48	71.65	67.53	55.50