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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 21, 2022
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 31 23 26 23 26 18 22 20 18 18
Exceeded High   20 24 21 21 19 22 14 13 16 15 6
Scenario Percentage   83% 77% 91% 81% 83% 85% 78% 59% 80% 83% 33%
Avg Max Increase   7.47% 9.51% 8.67% 5.28% 8.93% 6.61% 9.57% 8.29% 8.62% 9.63% 2.36%
Max Increase   29.90% 48.57% 29.88% 16.27% 34.36% 18.93% 22.16% 20.40% 32.47% 35.35% 4.92%
Avg Days To Max Increase   22 20 14 20 15 15 14 14 18 12 4
Avg Max Decline   -1.03% -1.47% -1.12% -1.15% -1.53% -2.69% -2.65% -1.49% -2.42% -2.51% -0.59%
Max Decline   -2.87% -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 11 7 12 4 6 9 6 2
2021 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes Yes Yes
Action   Yes Yes Yes No   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 27 23 25 27 27
Penetrated Low   16 12 18 16 17 16 21 19 22 18 11
Scenario Percentage   76% 86% 82% 84% 81% 84% 78% 83% 88% 67% 41%
Avg Max Decline   4.85% 5.99% 7.39% 7.24% 8.65% 11.35% 9.70% 11.03% 8.85% 7.29% 2.91%
Max Decline   9.93% 14.66% 23.29% 20.32% 24.16% 27.03% 27.01% 24.41% 24.28% 22.39% 5.57%
Avg Days To Max Decline   18 18 15 17 18 19 16 15 19 11 4
Avg Max Increase   -1.14% -1.13% -1.88% -1.97% -2.48% -2.72% -2.78% -2.38% -2.04% -2.18% -1.62%
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 1
2021 Contract Condition           Yes   Yes        
Action           No   No        
High 71.94 72.44 76.76 80.78 90.25 88.09 89.21 89.20 89.59 91.51 97.33 107.80
Low 66.67 68.74 70.90 77.14 78.43 77.20 78.22 81.61 84.24 85.65 89.64 89.79
Close/Last 69.76 71.58 76.57 79.21 85.18 80.70 86.47 83.78 85.51 89.83 93.91 107.80

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