|
 |
| 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 |
|
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
