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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, 2014
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 30 24 26 22 24 20 23 19 18 21
Exceeded High   19 24 22 21 17 19 15 15 15 15 10
Scenario Percentage   86% 80% 92% 81% 77% 79% 75% 65% 79% 83% 48%
Avg Max Increase   9.09% 9.73% 8.84% 7.24% 10.69% 8.63% 12.43% 11.03% 11.77% 9.39% 2.39%
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 20 15 19 16 17 15 17 19 13 4
Avg Max Decline   -1.11% -1.63% -1.17% -1.23% -1.61% -2.54% -2.58% -1.61% -2.29% -3.05% -0.46%
Max Decline   -3.41% -10.06% -3.19% -6.26% -8.64% -10.73% -11.05% -6.17% -5.63% -8.58% -2.03%
Avg Days to Max Decline   8 9 6 9 7 12 8 6 9 7 2
2013 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes   Yes
Action   Yes Yes Yes Yes Yes     Yes Yes   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 14 21 19 22 21 25 22 26 27 24
Penetrated Low   18 12 18 16 19 17 19 18 23 18 10
Scenario Percentage   82% 86% 86% 84% 86% 81% 76% 82% 88% 67% 42%
Avg Max Decline   5.02% 6.01% 6.66% 6.68% 8.79% 10.62% 9.20% 10.73% 8.24% 7.31% 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 18 20 19 16 16 19 11 5
Avg Max Increase   -1.03% -1.33% -2.16% -2.22% -2.96% -2.83% -2.70% -2.18% -1.20% -2.66% -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 10 2
2013 Contract Condition             Yes Yes     Yes  
Action             Yes No     Yes  
High 78.52 76.49 78.75 82.06 85.58 89.60 90.10 87.55 90.69 87.82 93.90 86.11
Low 74.16 74.14 76.24 77.59 81.75 85.55 82.85 81.83 81.95 83.55 83.01 82.30
Close/Last 75.30 76.49 78.55 81.69 85.58 87.73 86.41 81.89 85.61 85.63 83.70 86.11

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