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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, 2018
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   24 30 24 26 23 27 19 24 20 19 19
Exceeded High   21 23 22 22 19 22 15 15 16 16 7
Scenario Percentage   88% 77% 92% 85% 83% 81% 79% 63% 80% 84% 37%
Avg Max Increase   8.18% 9.77% 8.72% 6.50% 9.70% 7.71% 13.42% 12.32% 11.37% 9.38% 2.51%
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 21 14 16 14 15 18 12 4
Avg Max Decline   -1.13% -1.67% -1.12% -1.40% -1.66% -2.65% -2.52% -1.38% -2.54% -3.03% -0.27%
Max Decline   -3.41% -10.06% -3.19% -6.58% -8.64% -10.73% -11.05% -6.17% -5.63% -8.58% -2.03%
Avg Days to Max Decline   8 9 6 12 8 13 5 5 9 7 1
2017 Contract Condition   Yes   Yes Yes Yes Yes     Yes Yes  
Action   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   21 14 21 19 21 18 26 21 25 26 26
Penetrated Low   17 11 18 16 17 15 20 17 22 18 11
Scenario Percentage   81% 79% 86% 84% 81% 83% 77% 81% 88% 69% 42%
Avg Max Decline   5.16% 6.39% 7.01% 6.59% 9.45% 11.13% 9.67% 11.18% 8.57% 7.59% 3.67%
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 19 15 17 19 19 16 14 18 12 5
Avg Max Increase   -1.07% -1.37% -2.09% -2.12% -3.24% -2.91% -2.84% -2.10% -1.98% -2.51% -2.06%
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   8 12 9 13 12 12 8 9 5 8 2
2017 Contract Condition     Yes         Yes Yes     Yes
Action     No         Yes No     Yes
High 71.13 71.93 71.13 72.73 74.68 76.61 76.62 79.92 75.75 72.02 72.43 76.15
Low 67.73 68.40 69.22 70.74 72.97 74.16 72.43 73.29 66.34 66.49 67.25 68.80
Close/Last 69.11 70.92 69.72 72.39 74.40 74.61 75.99 75.04 70.36 70.50 71.48 69.08

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