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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of Dec 30, 2011
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 24 24 27 23 24 21 17 17 24 23
Exceeded High   22 20 19 22 18 18 16 15 13 15 8
Scenario Percentage   92% 83% 79% 81% 78% 75% 76% 88% 76% 63% 35%
Avg Max Increase   8.32% 7.11% 10.11% 7.98% 11.08% 9.51% 14.02% 13.75% 13.27% 8.51% 3.36%
Max Increase   28.86% 31.87% 33.85% 31.42% 33.57% 55.24% 49.88% 51.39% 54.27% 25.52% 8.67%
Avg Days To Max Increase   15 21 19 19 16 19 22 18 18 10 3
Avg Max Decline   -1.37% -2.11% -1.73% -2.71% -2.44% -1.93% -2.08% -2.90% -2.57% -1.58% -0.60%
Max Decline   -5.32% -10.35% -7.08% -10.65% -9.99% -10.75% -6.53% -9.53% -6.49% -5.94% -1.71%
Avg Days to Max Decline   10 10 7 14 5 7 6 7 8 5 1
2011 Contract Condition   Yes Yes Yes   Yes     Yes   Yes  
Action   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 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 19 20 17 21 20 23 27 28 21 22
Penetrated Low   16 16 15 14 18 17 20 16 21 15 5
Scenario Percentage   80% 84% 75% 82% 86% 85% 87% 59% 75% 71% 23%
Avg Max Decline   6.94% 6.12% 6.89% 8.06% 7.56% 9.36% 8.00% 11.20% 9.05% 7.14% 3.23%
Max Decline   20.96% 19.97% 16.87% 18.35% 26.30% 21.41% 26.03% 37.46% 35.90% 17.14% 5.94%
Avg Days To Max Decline   14 17 22 19 17 15 17 20 18 14 4
Avg Max Increase   -1.53% -2.60% -3.60% -2.55% -2.78% -2.14% -1.30% -1.55% -3.30% -1.89% -0.96%
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   8 14 13 9 9 9 5 9 13 5 1
2011 Contract Condition         Yes   Yes Yes   Yes   Yes
Action         Yes   Yes No   Yes   Not Yet
High 101.20 115.00 135.76 134.80 144.66 135.50 140.90 119.89 109.00 115.47 105.05 104.69
Low 88.20 98.60 113.00 116.31 120.66 113.76 116.40 93.20 93.72 98.21 96.47 87.50
Close/Last 100.58 114.20 129.74 132.50 130.93 135.50 118.59 101.77 105.81 100.19 102.29 90.31

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