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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, 2013
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 25 21 25 21 23 19 18 20
Exceeded High   18 23 21 20 16 20 16 15 14 15 9
Scenario Percentage   82% 79% 88% 80% 76% 80% 76% 65% 74% 83% 45%
Avg Max Increase   9.19% 9.77% 8.80% 7.34% 11.19% 8.45% 12.18% 10.81% 11.92% 9.39% 2.62%
Max Increase   29.90% 48.57% 29.88% 31.32% 34.36% 34.82% 36.97% 63.47% 56.45% 35.35% 4.27%
Avg Days To Max Increase   22 19 15 20 16 18 15 17 20 13 5
Avg Max Decline   -1.15% -1.64% -1.23% -1.29% -1.68% -2.52% -2.44% -1.51% -2.41% -3.05% -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   8 9 6 9 7 12 8 5 9 7 2
2012 Contract Condition     Yes Yes   Yes         Yes  
Action     Yes Yes   No         Yes  
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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 15 21 20 23 20 24 22 26 27 25
Penetrated Low   18 13 18 17 19 16 19 18 23 18 10
Scenario Percentage   82% 87% 86% 85% 83% 80% 79% 82% 88% 67% 40%
Avg Max Decline   5.02% 5.92% 6.66% 6.67% 8.79% 10.96% 9.20% 10.73% 8.24% 7.78% 3.90%
Max Decline   10.02% 14.66% 23.26% 20.32% 24.16% 27.03% 27.01% 24.41% 24.28% 23.65% 8.96%
Avg Days To Max Decline   18 18 16 19 20 19 16 16 19 12 5
Avg Max Increase   -1.03% -1.49% -2.16% -2.29% -2.96% -2.93% -2.70% -2.18% -1.20% -2.49% -2.40%
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 13 11 8 10 5 8 2
2012 Contract Condition   Yes     Yes   Yes Yes Yes Yes   Yes
Action   Yes     Yes   Yes Yes No No   Not Yet
High 99.09 100.41 93.07 98.00 98.71 94.62 93.50 89.58 75.00 73.05 76.48 76.56
Low 93.61 88.73 84.28 90.99 91.35 89.26 87.87 70.41 65.00 68.95 69.86 69.15
Close/Last 96.98 89.48 90.65 95.16 92.78 92.84 89.08 71.85 71.57 70.58 76.48 69.15

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