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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Cotton(ICE) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month 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 21 29 24 23 22 25 21 24 19 16 19
Exceeded High 18 22 20 19 17 19 16 16 14 12 9
Scenario Percentage 86% 76% 83% 83% 77% 76% 76% 67% 74% 75% 47%
Avg Max Increase 7.68% 7.73% 8.51% 7.43% 10.44% 8.84% 12.56% 10.18% 10.45% 9.05% 2.42%
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 18 19 16 17 20 13 5
Avg Max Decline -1.15% -1.65% -1.32% -1.31% -1.66% -2.60% -2.41% -1.33% -2.36% -3.51% -0.28%
Max Decline -3.41% -10.06% -3.19% -6.26% -8.64% -10.73% -11.05% -6.17% -5.63% -8.58% -1.81%
Avg Days to Max Decline 7 10 8 8 9 12 8 8 9 8 2
2009 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes
Action   Yes No   Yes Yes Yes   Yes   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 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 23 15 21 21 22 20 24 20 25 29 26
Penetrated Low 19 13 18 17 18 15 18 17 24 20 16
Scenario Percentage 83% 87% 86% 81% 82% 75% 75% 85% 96% 69% 62%
Avg Max Decline 4.60% 5.31% 6.60% 6.54% 7.02% 8.82% 8.93% 9.93% 7.97% 7.15% 11.77%
Max Decline 10.02% 14.66% 23.26% 20.32% 19.03% 18.49% 27.01% 17.97% 24.28% 23.65% 28.61%
Avg Days To Max Decline 18 19 17 19 20 18 18 15 19 11 8
Avg Max Increase -0.86% -1.49% -2.08% -2.25% -2.75% -2.85% -2.99% -2.28% -1.25% -2.27% -2.10%
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 12 12 14 15 10 11 10 5 8 3
2009 Contract Condition Yes     Yes       Yes   Yes  
Action No     Yes       No   Not Yet  
High 56.65 53.28 55.19 54.49 49.89 56.26 62.57 61.16 63.10 63.58 63.91
Low 44.16 45.15 50.50 46.70 44.80 49.57 56.63 52.91 55.80 54.97 55.57
Close/Last 50.70 53.28 54.07 47.20 49.89 56.26 59.48 55.63 57.93 57.76 61.34

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