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