MRCI's ScenarioSM Study

ScenarioSM Study for December Cotton(ICE) as of Jun 08, 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