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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, 2018
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 26 25 29 20 24 22 18 16 23 24
Exceeded High   23 23 19 23 16 19 18 16 12 13 8
Scenario Percentage   92% 88% 76% 79% 80% 79% 82% 89% 75% 57% 33%
Avg Max Increase   7.96% 6.42% 9.59% 7.30% 12.23% 9.97% 13.27% 12.97% 12.18% 7.64% 3.12%
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 17 20 16 16 9 2
Avg Max Decline   -1.09% -2.10% -1.71% -2.86% -2.70% -2.14% -2.21% -3.37% -2.47% -1.67% -0.52%
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   7 9 6 15 4 8 6 7 6 6 1
2017 Contract Condition   Yes Yes   Yes     Yes Yes     Yes
Action   Yes Yes   No     Yes Yes     Yes
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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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 19 20 16 25 21 23 27 29 22 21
Penetrated Low   16 16 15 14 22 18 21 17 22 15 4
Scenario Percentage   80% 84% 75% 88% 88% 86% 91% 63% 76% 68% 19%
Avg Max Decline   7.37% 6.20% 8.41% 10.08% 7.91% 9.71% 8.02% 10.60% 8.63% 6.75% 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   13 16 22 17 16 14 18 20 18 15 3
Avg Max Increase   -1.51% -2.52% -3.57% -2.48% -2.57% -2.03% -1.84% -1.88% -3.84% -1.92% -0.78%
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 13 12 9 6 8 7 11 13 3 1
2017 Contract Condition       Yes   Yes Yes     Yes Yes  
Action       Yes   Yes No     Yes Not Yet  
High 70.51 72.35 74.60 75.72 75.16 75.15 73.70 69.72 71.20 75.75 70.22 75.54
Low 68.56 69.81 71.80 73.00 72.19 72.15 66.15 66.28 66.64 67.86 66.84 68.01
Close/Last 69.54 71.83 74.38 74.09 74.62 72.79 68.59 68.86 70.93 68.45 68.38 75.04

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