|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Cotton(ICE) as of Apr 30, 2011 |
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 |
29 |
24 |
24 |
22 |
26 |
21 |
24 |
20 |
17 |
20 |
| Exceeded High |
|
18 |
22 |
20 |
20 |
17 |
20 |
16 |
16 |
15 |
13 |
9 |
| Scenario Percentage |
|
82% |
76% |
83% |
83% |
77% |
77% |
76% |
67% |
75% |
76% |
45% |
| Avg Max Increase |
|
7.68% |
7.73% |
8.51% |
7.34% |
10.73% |
8.45% |
12.56% |
11.04% |
11.92% |
10.02% |
2.32% |
| Max Increase |
|
23.70% |
14.32% |
29.88% |
31.32% |
34.36% |
34.82% |
36.97% |
63.47% |
56.45% |
35.35% |
3.88% |
| Avg Days To Max Increase |
|
21 |
20 |
16 |
20 |
17 |
18 |
16 |
18 |
20 |
13 |
4 |
| Avg Max Decline |
|
-1.15% |
-1.65% |
-1.32% |
-1.29% |
-1.69% |
-2.52% |
-2.41% |
-1.38% |
-2.21% |
-3.25% |
-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 |
9 |
9 |
12 |
8 |
6 |
9 |
8 |
2 |
| 2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
|
|
|
|
|
|
| Action |
|
Yes |
Yes |
Yes |
No |
|
|
|
|
|
|
|
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 |
15 |
21 |
20 |
22 |
19 |
24 |
20 |
24 |
28 |
25 |
| Penetrated Low |
|
18 |
13 |
18 |
17 |
18 |
15 |
18 |
17 |
23 |
19 |
10 |
| Scenario Percentage |
|
82% |
87% |
86% |
85% |
82% |
79% |
75% |
85% |
96% |
68% |
40% |
| Avg Max Decline |
|
4.71% |
5.92% |
6.66% |
6.54% |
7.02% |
8.82% |
9.19% |
9.93% |
8.24% |
7.31% |
3.34% |
| Max Decline |
|
10.02% |
14.66% |
23.26% |
20.32% |
19.03% |
18.49% |
27.01% |
17.97% |
24.28% |
22.39% |
5.57% |
| Avg Days To Max Decline |
|
18 |
18 |
16 |
19 |
20 |
18 |
16 |
15 |
19 |
12 |
4 |
| Avg Max Increase |
|
-0.92% |
-1.49% |
-2.16% |
-2.25% |
-2.75% |
-2.85% |
-2.96% |
-2.28% |
-1.20% |
-2.40% |
-1.78% |
| 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 |
11 |
11 |
14 |
15 |
10 |
9 |
10 |
5 |
8 |
2 |
| 2011 Contract Condition |
|
|
|
|
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
|
|
|
|
Yes |
Not Yet |
|
|
|
|
|
| High |
98.91 |
126.99 |
117.00 |
130.00 |
166.47 |
162.09 |
166.00 |
143.50 |
|
|
|
|
| Low |
88.04 |
93.62 |
100.00 |
110.00 |
128.73 |
140.50 |
134.50 |
140.70 |
|
|
|
|
| Close/Last |
98.91 |
100.08 |
112.05 |
128.85 |
155.09 |
154.00 |
145.80 |
141.96 |
|
|
|
|
|
|
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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
