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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of May 31, 2010
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 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% 7.34% 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 19 20 17 18 21 17 18 10 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
2010 Contract Condition     Yes Yes Yes Yes            
Action     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 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 21 17 22 19 23 28 28 22 22
Penetrated Low   16 18 15 14 19 16 20 17 21 16 7
Scenario Percentage   80% 86% 71% 82% 86% 84% 87% 61% 75% 73% 32%
Avg Max Decline   6.80% 5.74% 6.89% 7.14% 7.22% 8.43% 8.00% 10.70% 8.48% 6.73% 3.07%
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 19 18 14 17 20 17 13 5
Avg Max Increase   -1.52% -2.39% -3.60% -2.59% -2.69% -2.25% -1.30% -1.54% -3.09% -2.00% -0.74%
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 13 13 10 10 11 5 8 12 6 2
2010 Contract Condition   Yes         Yes          
Action   Yes                    
High 77.97 77.19 74.45 75.74 77.98 79.20 78.61          
Low 74.74 70.62 68.55 73.25 74.80 75.27 77.47          
Close/Last 76.21 70.84 74.42 75.01 77.97 78.61 77.61          

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