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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 44 44 44 44 44 44 44 45 45 45
Closed Higher   24 22 22 26 21 26 21 16 17 22 22
Exceeded High   21 18 16 20 16 20 16 14 12 13 8
Scenario Percentage   88% 82% 73% 77% 76% 77% 76% 88% 71% 59% 36%
Avg Max Increase   7.82% 7.00% 9.61% 8.11% 12.27% 8.67% 11.42% 10.56% 8.79% 7.40% 3.60%
Max Increase   28.86% 31.87% 33.85% 31.42% 33.57% 55.24% 49.88% 43.29% 27.00% 17.83% 9.02%
Avg Days To Max Increase   15 22 20 20 17 18 22 17 18 9 5
Avg Max Decline   -1.38% -1.68% -1.82% -2.71% -1.64% -1.77% -2.04% -2.96% -1.94% -1.65% -0.60%
Max Decline   -5.32% -4.26% -7.08% -10.65% -8.16% -10.75% -6.53% -9.53% -4.95% -5.94% -1.71%
Avg Days to Max Decline   10 10 8 14 4 7 8 7 8 5 1
2008 Contract Condition   Yes Yes   Yes   Yes         Yes
Action   Yes Yes   No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   44 44 44 44 44 44 44 44 45 45 45
Closed Lower   20 21 22 18 22 18 23 27 28 22 23
Penetrated Low   16 18 16 15 19 16 20 17 21 16 8
Scenario Percentage   80% 86% 73% 83% 86% 89% 87% 63% 75% 73% 35%
Avg Max Decline   6.80% 5.87% 6.91% 6.84% 7.22% 8.43% 8.00% 10.70% 8.48% 6.73% 2.83%
Max Decline   20.96% 19.97% 16.87% 18.35% 26.30% 19.05% 26.03% 37.46% 35.90% 17.14% 5.94%
Avg Days To Max Decline   14 18 22 18 18 14 17 20 17 13 5
Avg Max Increase   -1.52% -2.40% -3.38% -2.40% -2.69% -2.25% -1.30% -1.54% -3.09% -2.00% -0.64%
Max Increase   -5.15% -9.20% -13.11% -12.82% -13.00% -10.03% -5.36% -4.99% -7.69% -5.87% -1.56%
Avg Days to Max Increase   9 14 12 10 10 11 5 8 12 6 2
2008 Contract Condition       Yes   Yes   Yes Yes Yes Yes  
Action       Yes   Yes   Yes Yes Yes Yes  
High 75.35 80.61 87.59 98.45 89.49 81.44 84.04 79.00 74.93 70.43 59.34 46.89
Low 70.52 74.31 74.85 76.34 77.08 73.79 71.65 70.78 66.79 55.11 43.64 36.70
Close/Last 75.21 76.40 87.45 79.12 79.52 74.37 78.62 74.50 69.78 57.25 44.29 45.75

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