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