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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Cotton(ICE) as of Dec 07, 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 24 25 24 27 19 22 20 19 18
Exceeded High   20 24 22 20 20 23 14 13 16 15 6
Scenario Percentage   83% 77% 92% 80% 83% 85% 74% 59% 80% 79% 33%
Avg Max Increase   7.47% 9.92% 8.86% 5.33% 9.46% 6.72% 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 15 20 15 15 14 14 18 12 4
Avg Max Decline   -1.03% -1.04% -1.22% -1.15% -1.49% -2.56% -2.65% -1.49% -2.42% -2.51% -0.59%
Max Decline   -2.87% -5.22% -3.30% -6.58% -8.64% -10.73% -11.05% -6.17% -5.63% -6.18% -2.03%
Avg Days to Max Decline   9 10 7 12 7 12 4 6 9 6 2
2022 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes Yes   Yes Yes No     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 14 21 20 21 18 26 23 25 26 27
Penetrated Low   16 12 18 17 17 15 20 19 22 17 11
Scenario Percentage   76% 86% 86% 85% 81% 83% 77% 83% 88% 65% 41%
Avg Max Decline   4.28% 5.99% 7.39% 6.87% 8.65% 10.94% 9.40% 10.96% 9.07% 7.34% 2.91%
Max Decline   8.31% 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   17 18 15 16 18 20 16 15 19 11 4
Avg Max Increase   -0.95% -1.13% -1.88% -2.03% -2.48% -2.71% -2.85% -2.10% -3.06% -2.31% -1.62%
Max Increase   -4.37% -7.65% -7.79% -8.68% -11.33% -13.52% -12.42% -8.87% -21.21% -7.57% -9.01%
Avg Days to Max Increase   8 11 10 12 11 11 9 10 6 7 1
2022 Contract Condition   Yes     Yes       Yes Yes   Yes
Action   Yes     Yes       Yes Yes   Not Yet
High 98.48 99.56 97.39 107.35 111.60 120.47 132.05 140.47 132.95 106.79 125.00 117.95
Low 88.08 91.61 90.86 97.64 104.34 103.34 116.55 129.14 98.52 90.85 98.00 87.11
Close/Last 97.87 91.61 97.39 106.87 104.41 117.53 128.66 130.08 105.64 103.13 118.29 93.22

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