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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cotton(ICE) as of May 10, 2021
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 22 21 17 16 26 24
Exceeded High   22 23 19 23 16 17 18 15 12 15 9
Scenario Percentage   92% 88% 76% 79% 80% 77% 86% 88% 75% 58% 38%
Avg Max Increase   7.27% 5.19% 9.14% 7.50% 10.35% 7.03% 10.06% 13.46% 13.49% 7.37% 3.21%
Max Increase   28.86% 16.14% 33.85% 31.42% 33.07% 21.52% 43.70% 51.39% 54.27% 25.52% 9.02%
Avg Days To Max Increase   13 21 19 17 14 15 19 17 20 10 4
Avg Max Decline   -1.13% -2.17% -1.71% -2.62% -2.83% -2.11% -2.22% -2.87% -2.36% -1.56% -0.65%
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   7 10 5 14 4 9 6 7 6 5 2
2020 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 23 24 28 29 19 21
Penetrated Low   16 16 15 14 22 20 22 17 22 14 5
Scenario Percentage   80% 84% 75% 88% 88% 87% 92% 61% 76% 74% 24%
Avg Max Decline   7.98% 7.06% 7.69% 10.08% 8.21% 9.65% 8.17% 10.16% 7.80% 6.59% 3.23%
Max Decline   24.49% 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   14 16 20 17 17 15 18 19 17 13 4
Avg Max Increase   -1.36% -2.33% -3.18% -2.48% -2.68% -2.36% -1.76% -1.75% -3.96% -2.15% -0.96%
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   8 13 11 9 8 9 7 9 15 5 1
2020 Contract Condition   Yes Yes Yes   Yes            
Action   Yes Yes Yes   No            
High 70.95 73.00 70.65 65.80 59.50 59.59 61.14 64.90 66.45 66.93 72.60 72.70
Low 66.52 68.55 61.00 51.90 50.18 55.11 57.16 59.51 62.01 63.40 64.86 68.06
Close/Last 70.36 68.73 62.44 53.41 58.92 57.48 60.88 62.66 65.16 65.79 68.92 70.59

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