MRCI's ScenarioSM Study

ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	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	23	27	21	25	21	16	17	23	23
Exceeded High	21	18	17	21	16	19	16	14	13	14	8
Scenario Percentage	88%	82%	74%	78%	76%	76%	76%	88%	76%	61%	35%
Avg Max Increase	7.82%	7.00%	10.43%	8.25%	12.11%	9.05%	11.90%	10.56%	9.24%	7.46%	3.80%
Max Increase	28.86%	31.87%	33.85%	31.42%	33.57%	55.24%	49.88%	43.29%	27.00%	19.56%	9.02%
Avg Days To Max Increase	15	22	19	20	17	18	21	17	18	11	5
Avg Max Decline	-1.38%	-1.68%	-1.79%	-2.60%	-2.23%	-1.86%	-2.03%	-2.96%	-2.07%	-1.72%	-0.60%
Max Decline	-5.32%	-4.26%	-7.08%	-10.65%	-9.99%	-10.75%	-6.53%	-9.53%	-4.95%	-5.94%	-1.71%
Avg Days to Max Decline	10	10	8	13	5	7	5	7	8	5	1
2009 Contract Condition	Yes		Yes	Yes	Yes		Yes		Yes	Yes	Yes
Action	No		Yes	Yes	Yes		Yes		Yes	Yes	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	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	21	17	22	19	23	28	28	22	22
Penetrated Low	16	18	15	14	19	16	20	17	21	16	15
Scenario Percentage	80%	86%	71%	82%	86%	84%	87%	61%	75%	73%	68%
Avg Max Decline	6.80%	5.74%	6.89%	7.14%	7.22%	8.43%	8.00%	10.70%	8.48%	6.81%	14.16%
Max Decline	20.96%	19.97%	16.87%	18.35%	26.30%	19.05%	26.03%	37.46%	35.90%	17.14%	47.84%
Avg Days To Max Decline	14	18	22	19	18	14	17	20	17	13	9
Avg Max Increase	-1.52%	-2.39%	-3.60%	-2.59%	-2.69%	-2.25%	-1.30%	-1.54%	-3.09%	-2.49%	-1.57%
Max Increase	-5.15%	-9.20%	-13.11%	-12.82%	-13.00%	-10.03%	-5.36%	-4.99%	-7.69%	-9.27%	-7.35%
Avg Days to Max Increase	9	13	13	10	10	11	5	8	12	8	3
2009 Contract Condition		Yes				Yes		Yes
Action		Yes				No		No
High	57.20	56.35	51.70	57.50	63.75	62.63	64.98	65.47	65.39	69.49	72.00
Low	51.85	48.42	46.25	50.87	57.20	54.77	57.48	57.00	57.52	60.59	65.87
Close/Last	55.54	48.96	51.56	57.46	60.85	57.48	60.02	59.74	62.84	67.64	70.75