MRCI's ScenarioSM Study

ScenarioSM Study for October Cotton(ICE) as of Jan 01, 2015
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		23	31	24	27	23	25	20	23	19	19	20
Exceeded High		20	25	22	22	18	20	15	15	15	16	9
Scenario Percentage		87%	81%	92%	81%	78%	80%	75%	65%	79%	84%	45%
Avg Max Increase		8.90%	9.46%	8.84%	7.13%	10.29%	8.27%	12.43%	11.03%	11.77%	9.16%	2.34%
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	20	15	17	15	17	19	13	4
Avg Max Decline		-1.11%	-1.63%	-1.17%	-1.15%	-1.63%	-2.43%	-2.58%	-1.61%	-2.29%	-3.05%	-0.50%
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		7	9	6	10	7	12	8	6	9	7	2
2014 Contract Condition		Yes	Yes		Yes	Yes	Yes				Yes
Action		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		21	13	21	18	21	20	25	22	26	26	25
Penetrated Low		17	11	18	15	18	16	19	18	23	18	10
Scenario Percentage		81%	85%	86%	83%	86%	80%	76%	82%	88%	69%	40%
Avg Max Decline		5.02%	6.02%	6.54%	6.87%	9.07%	11.09%	10.08%	11.46%	8.27%	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		17	19	15	18	19	19	16	14	19	11	5
Avg Max Increase		-0.92%	-1.33%	-2.08%	-2.37%	-3.10%	-2.84%	-2.72%	-2.04%	-1.86%	-2.66%	-2.40%
Max Increase		-4.37%	-7.65%	-7.79%	-8.68%	-11.33%	-13.52%	-12.42%	-8.87%	-15.14%	-7.57%	-9.01%
Avg Days to Max Increase		6	12	10	14	11	11	7	9	7	10	2
2014 Contract Condition				Yes				Yes	Yes	Yes		Yes
Action				Yes				Yes	Yes	Yes		Not Yet
High	82.52	78.28	79.75	82.00	81.75	82.57	83.89	85.00	78.30	73.28	68.48	71.49
Low	76.98	76.02	77.11	78.37	78.12	80.72	80.50	77.00	73.00	61.90	61.34	60.58
Close/Last	76.98	77.89	79.75	78.53	80.07	82.14	83.83	77.13	73.38	62.09	67.60	61.96