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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2015
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 26 25 27 21 23 21 18 17 23 24
Exceeded High   22 22 19 22 16 17 17 16 13 14 9
Scenario Percentage   92% 85% 76% 81% 76% 74% 81% 89% 76% 61% 38%
Avg Max Increase   8.07% 7.02% 10.21% 7.83% 11.27% 9.86% 13.54% 12.78% 12.88% 7.89% 3.38%
Max Increase   28.86% 31.87% 33.85% 31.42% 33.57% 55.24% 49.88% 51.39% 54.27% 25.52% 9.02%
Avg Days To Max Increase   14 21 18 19 15 18 21 16 17 9 5
Avg Max Decline   -1.14% -1.99% -1.68% -2.64% -2.67% -2.28% -2.09% -3.34% -2.72% -1.65% -0.72%
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 14 5 8 5 7 8 5 2
2014 Contract Condition     Yes Yes Yes       Yes   Yes  
Action     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 18 19 17 23 21 23 26 28 22 21
Penetrated Low   16 15 15 14 20 18 20 16 22 16 6
Scenario Percentage   80% 83% 79% 82% 87% 86% 87% 62% 79% 73% 29%
Avg Max Decline   6.78% 6.43% 8.40% 10.08% 8.14% 9.71% 8.07% 10.93% 8.69% 6.76% 2.96%
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   13 17 22 17 16 14 17 20 18 13 5
Avg Max Increase   -1.50% -2.66% -3.51% -2.48% -2.67% -2.03% -1.71% -1.88% -3.91% -1.95% -0.93%
Max Increase   -5.15% -9.20% -13.11% -12.82% -13.00% -10.03% -8.92% -5.14% -12.09% -5.87% -1.56%
Avg Days to Max Increase   8 14 10 9 6 8 7 11 14 5 2
2014 Contract Condition   Yes       Yes Yes Yes   Yes   Yes
Action   Yes       Yes Yes Yes   Yes   Not Yet
High 78.70 80.00 78.70 80.50 83.75 84.74 78.74 73.70 67.72 68.48 66.05 65.77
Low 76.00 76.30 75.96 77.51 79.02 77.00 73.30 62.32 62.02 60.83 61.15 57.84
Close/Last 78.43 76.40 77.82 80.00 83.40 77.47 73.51 62.87 66.57 61.37 64.45 60.96

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