MRCI's ScenarioSM Study

ScenarioSM Study for October Cotton(ICE) as of Jun 08, 2020
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	29	24	26	24	26	19	22	19	18	18
Exceeded High		20	22	22	22	20	22	15	13	15	15	7
Scenario Percentage		83%	76%	92%	85%	83%	85%	79%	59%	79%	83%	39%
Avg Max Increase		7.11%	9.40%	8.04%	5.29%	8.99%	7.95%	11.40%	8.07%	8.37%	9.23%	2.51%
Max Increase		29.90%	48.57%	29.88%	16.27%	34.36%	34.82%	36.97%	20.40%	32.47%	35.35%	4.27%
Avg Days To Max Increase		23	20	15	21	15	16	13	13	18	11	4
Avg Max Decline		-1.15%	-1.68%	-1.20%	-1.39%	-1.52%	-2.37%	-2.49%	-1.47%	-2.60%	-2.66%	-0.27%
Max Decline		-3.41%	-10.06%	-3.19%	-6.58%	-8.64%	-10.73%	-11.05%	-6.17%	-5.63%	-6.18%	-2.03%
Avg Days to Max Decline		9	11	7	12	8	12	4	4	10	7	1
2019 Contract Condition		Yes		Yes		Yes						Yes
Action		No		Yes		Yes						Not Yet

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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	15	21	19	20	19	26	23	26	27	27
Penetrated Low		17	12	17	15	16	16	21	19	23	18	12
Scenario Percentage		81%	80%	81%	79%	80%	84%	81%	83%	88%	67%	44%
Avg Max Decline		5.16%	5.99%	6.45%	6.47%	8.85%	11.35%	9.70%	11.03%	8.68%	7.60%	3.40%
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	15	18	19	19	16	15	18	12	5
Avg Max Increase		-1.07%	-1.13%	-1.83%	-1.83%	-2.98%	-2.72%	-2.78%	-2.38%	-1.95%	-2.34%	-1.90%
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	11	9	14	12	11	8	10	5	9	2
2019 Contract Condition			Yes		Yes		Yes	Yes	Yes	Yes	Yes
Action			Yes		No		Yes	Yes	Yes	Yes	Not Yet
High	79.60	79.93	79.63	75.48	75.25	76.50	78.95	75.48	68.85	67.86	64.02	62.81
Low	75.72	77.14	73.08	72.44	72.60	73.69	75.23	65.69	64.65	60.78	56.19	58.00
Close/Last	77.39	78.02	73.58	74.95	73.72	75.98	75.67	67.77	65.75	63.22	59.05	59.75