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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, 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

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