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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Cotton(ICE) as of May 10, 2021
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 23 26 23 26 19 22 19 18 18
Exceeded High   20 23 21 22 19 22 15 13 15 15 7
Scenario Percentage   83% 77% 91% 85% 83% 85% 79% 59% 79% 83% 39%
Avg Max Increase   7.11% 9.15% 8.17% 5.29% 8.93% 8.03% 11.40% 7.90% 7.86% 8.91% 2.37%
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 14 21 15 16 13 13 17 12 5
Avg Max Decline   -1.15% -1.57% -1.12% -1.39% -1.53% -2.46% -2.49% -1.53% -2.57% -2.49% -0.30%
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 10 6 12 7 12 4 6 10 6 2
2020 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 14 22 19 21 19 26 23 26 27 27
Penetrated Low   16 12 18 16 17 16 21 19 23 18 12
Scenario Percentage   76% 86% 82% 84% 81% 84% 81% 83% 88% 67% 44%
Avg Max Decline   4.85% 5.99% 7.39% 7.24% 8.65% 11.35% 9.70% 11.03% 8.68% 7.39% 3.05%
Max Decline   9.93% 14.66% 23.29% 20.32% 24.16% 27.03% 27.01% 24.41% 24.28% 23.65% 7.10%
Avg Days To Max Decline   18 18 15 17 18 19 16 15 18 11 4
Avg Max Increase   -1.14% -1.13% -1.88% -1.97% -2.48% -2.72% -2.78% -2.38% -1.95% -2.18% -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 10 13 11 11 8 10 5 7 2
2020 Contract Condition   Yes   Yes Yes Yes   Yes        
Action   No   Yes Yes Yes   No        
High 67.90 69.38 72.04 73.39 70.73 64.53 58.90 59.01 62.05 65.09 65.79 65.84
Low 63.48 66.44 66.51 68.31 61.35 52.87 50.31 55.15 57.24 59.05 61.78 63.01
Close/Last 67.44 67.29 70.90 68.92 61.97 53.21 58.72 57.27 61.48 62.30 64.41 64.49

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