MRCI's ScenarioSM Study

ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2016
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	28	20	23	21	17	17	23	24
Exceeded High		22	23	19	23	15	18	17	15	13	13	9
Scenario Percentage		92%	88%	76%	82%	75%	78%	81%	88%	76%	57%	38%
Avg Max Increase		8.07%	6.79%	10.21%	7.58%	11.85%	9.33%	13.54%	13.38%	12.88%	8.44%	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	22	18	19	15	18	21	16	17	10	5
Avg Max Decline		-1.14%	-2.16%	-1.68%	-2.75%	-2.78%	-2.26%	-2.09%	-3.56%	-2.72%	-1.78%	-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	15	5	8	5	8	8	6	2
2015 Contract Condition			Yes		Yes		Yes				Yes
Action			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	16	24	21	23	27	28	22	21
Penetrated Low		15	15	14	14	21	18	21	17	21	16	5
Scenario Percentage		75%	83%	74%	88%	88%	86%	91%	63%	75%	73%	24%
Avg Max Decline		7.22%	6.43%	8.82%	10.08%	7.86%	9.71%	8.02%	10.60%	8.93%	6.76%	3.23%
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	17	16	14	18	20	17	13	4
Avg Max Increase		-1.48%	-2.66%	-3.72%	-2.48%	-2.64%	-2.03%	-1.84%	-1.88%	-3.92%	-1.95%	-0.96%
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		7	14	11	9	6	8	7	11	14	5	1
2015 Contract Condition		Yes		Yes		Yes		Yes	Yes	Yes		Yes
Action		No		No		Yes		Yes	Yes	No		Not Yet
High	66.23	65.31	66.55	66.10	66.95	66.99	67.99	68.11	67.00	64.20	64.69	63.85
Low	63.17	61.28	62.35	61.95	63.07	63.95	63.16	63.27	61.20	59.70	59.90	59.72
Close/Last	64.42	62.79	65.85	64.34	66.64	64.64	67.91	64.21	63.00	60.44	63.32	61.30