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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of Mar 27, 2020
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 26 29 20 22 21 17 16 25 24
Exceeded High   23 23 20 23 16 17 18 15 12 14 8
Scenario Percentage   92% 88% 77% 79% 80% 77% 86% 88% 75% 56% 33%
Avg Max Increase   7.15% 5.19% 8.99% 7.39% 10.35% 7.05% 10.52% 13.20% 12.73% 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   14 21 19 18 14 16 19 15 18 9 2
Avg Max Decline   -1.20% -2.17% -1.67% -2.64% -2.83% -2.17% -2.26% -2.96% -2.21% -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 5 15 4 8 6 7 5 5 1
2019 Contract Condition   Yes   Yes Yes         Yes Yes  
Action   Yes   Yes No         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   19 19 19 16 25 23 24 28 29 20 21
Penetrated Low   15 15 14 14 23 20 22 17 22 14 4
Scenario Percentage   79% 79% 74% 88% 92% 87% 92% 61% 76% 70% 19%
Avg Max Decline   6.88% 6.22% 7.80% 10.08% 7.92% 9.65% 8.17% 10.16% 7.80% 6.38% 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 17 21 17 17 15 18 19 17 14 3
Avg Max Increase   -1.27% -2.12% -3.41% -2.48% -2.54% -2.36% -1.76% -1.75% -3.96% -1.98% -0.78%
Max Increase   -5.08% -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 12 9 7 9 7 9 15 3 1
2019 Contract Condition     Yes     Yes Yes Yes Yes     Yes
Action     No     Yes Yes Yes No     Not Yet
High 78.49 75.20 74.68 75.97 77.75 75.74 68.25 68.35 63.90 63.39 65.99 65.06
Low 72.77 72.24 72.25 72.77 75.08 65.25 64.70 61.66 56.59 57.55 60.20 61.73
Close/Last 73.30 74.20 73.28 75.44 75.69 67.07 66.08 63.84 58.83 60.83 64.44 64.40

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