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