MRCI's ScenarioSM Study

ScenarioSM Study for December Cotton(ICE) as of Jan 01, 2019
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		24	26	25	29	20	23	22	17	16	24	24
Exceeded High		22	23	19	23	16	18	18	15	12	14	8
Scenario Percentage		92%	88%	76%	79%	80%	78%	82%	88%	75%	58%	33%
Avg Max Increase		7.36%	5.19%	9.30%	7.39%	10.35%	7.45%	10.52%	13.20%	12.18%	7.44%	3.12%
Max Increase		28.86%	16.14%	33.85%	31.42%	33.07%	21.52%	43.70%	51.39%	54.27%	25.52%	8.67%
Avg Days To Max Increase		13	21	20	18	14	16	19	15	16	9	2
Avg Max Decline		-1.13%	-2.17%	-1.73%	-2.64%	-2.83%	-2.16%	-2.26%	-2.96%	-2.47%	-1.58%	-0.52%
Max Decline		-3.19%	-10.35%	-7.08%	-10.65%	-9.99%	-10.75%	-6.53%	-9.11%	-6.49%	-5.94%	-1.71%
Avg Days to Max Decline		8	10	6	15	4	8	6	7	6	5	1
2018 Contract Condition			Yes	Yes	Yes	Yes		Yes			Yes	Yes
Action			Yes	Yes	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		45	45	45	45	45	45	45	45	45	45	45
Closed Lower		20	19	20	16	25	22	23	28	29	21	21
Penetrated Low		16	16	15	14	22	19	21	18	22	15	4
Scenario Percentage		80%	84%	75%	88%	88%	86%	91%	64%	76%	71%	19%
Avg Max Decline		7.37%	6.20%	8.41%	10.08%	7.91%	9.41%	8.02%	10.47%	7.80%	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	19	17	15	3
Avg Max Increase		-1.51%	-2.52%	-3.57%	-2.48%	-2.57%	-2.31%	-1.84%	-1.89%	-3.96%	-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	9	7	11	15	3	1
2018 Contract Condition							Yes		Yes	Yes
Action							Yes		Yes	Yes
High	74.69	76.24	77.50	78.94	79.90	93.73	94.82	89.82	89.98	83.93	80.14	80.50
Low	70.68	73.75	74.25	76.70	75.90	78.55	82.94	81.75	80.60	76.27	75.37	74.86
Close/Last	74.51	74.51	77.11	77.73	78.78	91.64	83.92	89.59	82.22	76.37	76.86	77.16