MRCI's ScenarioSM Study

ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2014
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	25	24	26	21	24	21	17	18	23	24
Exceeded High		22	21	18	21	16	18	17	15	14	14	8
Scenario Percentage		92%	84%	75%	81%	76%	75%	81%	88%	78%	61%	33%
Avg Max Increase		8.07%	7.00%	10.45%	8.13%	11.27%	9.38%	13.54%	13.44%	12.37%	7.82%	3.18%
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		14	21	19	19	15	18	21	17	17	9	3
Avg Max Decline		-1.14%	-2.06%	-1.71%	-2.74%	-2.67%	-2.15%	-2.09%	-3.30%	-2.53%	-1.65%	-0.60%
Max Decline		-3.19%	-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		8	9	6	15	5	8	5	7	8	5	1
2013 Contract Condition		Yes	Yes	Yes			Yes	Yes		Yes		Yes
Action		Yes	Yes	No			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	18	23	20	23	27	27	22	21
Penetrated Low		16	16	16	15	20	17	20	16	21	16	4
Scenario Percentage		80%	84%	80%	83%	87%	85%	87%	59%	78%	73%	19%
Avg Max Decline		6.94%	6.19%	8.06%	9.57%	7.24%	9.36%	8.00%	10.93%	8.83%	6.57%	3.48%
Max Decline		20.96%	19.97%	25.57%	25.70%	26.30%	21.41%	26.03%	37.46%	35.90%	17.14%	5.94%
Avg Days To Max Decline		14	17	22	18	16	15	17	20	18	15	3
Avg Max Increase		-1.53%	-2.49%	-3.37%	-2.47%	-2.65%	-2.14%	-1.30%	-1.88%	-3.74%	-1.80%	-0.78%
Max Increase		-5.15%	-9.20%	-13.11%	-12.82%	-13.00%	-10.03%	-5.36%	-5.14%	-12.09%	-5.87%	-1.56%
Avg Days to Max Increase		8	13	12	9	8	9	5	11	14	4	1
2013 Contract Condition					Yes	Yes			Yes		Yes
Action					Yes	Yes			Yes		Yes
High	79.01	81.25	85.40	89.20	88.29	87.25	89.56	87.11	93.72	87.50	87.78	78.94
Low	76.36	77.80	80.43	84.22	83.00	82.00	81.72	83.20	82.43	82.11	77.11	73.79
Close/Last	78.74	81.15	85.21	87.37	86.28	82.06	84.01	85.18	83.49	87.21	77.18	78.14