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