MRCI's ScenarioSM Study

ScenarioSM Study for December Cotton(ICE) as of Jun 23, 2023
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	25	25	30	20	22	22	19	16	26	24
Exceeded High		23	21	20	24	15	17	19	16	12	16	9
Scenario Percentage		92%	84%	80%	80%	75%	77%	86%	84%	75%	62%	38%
Avg Max Increase		8.09%	5.20%	9.70%	6.44%	8.84%	7.33%	10.51%	14.24%	14.14%	7.24%	2.99%
Max Increase		28.86%	16.14%	33.85%	20.36%	21.43%	21.52%	43.70%	51.39%	54.27%	25.52%	8.67%
Avg Days To Max Increase		14	21	19	16	15	16	19	17	19	9	3
Avg Max Decline		-1.12%	-2.15%	-1.66%	-2.73%	-3.02%	-2.10%	-2.12%	-2.93%	-2.52%	-1.45%	-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		8	10	5	13	5	9	8	8	7	5	2
2022 Contract Condition		Yes		Yes	Yes	Yes			Yes			Yes
Action		Yes		Yes	Yes	No			No			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	20	20	15	25	23	23	26	29	19	21
Penetrated Low		16	16	15	13	21	20	20	16	22	13	6
Scenario Percentage		84%	80%	75%	87%	84%	87%	87%	62%	76%	68%	29%
Avg Max Decline		7.98%	7.06%	7.69%	9.79%	7.91%	9.88%	8.37%	10.35%	8.31%	6.80%	3.10%
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	19	18	18	13	4
Avg Max Increase		-1.36%	-2.33%	-3.18%	-2.56%	-2.75%	-2.04%	-1.97%	-1.87%	-4.21%	-2.13%	-1.04%
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	6	10	15	4	1
2022 Contract Condition			Yes				Yes	Yes		Yes	Yes
Action			No				Yes	No		Yes	Not Yet
High	92.75	101.25	106.36	114.15	126.15	133.79	126.00	99.00	119.59	113.20	90.52	91.85
Low	85.05	92.50	98.88	99.50	110.56	121.35	91.20	82.54	91.60	83.60	70.21	72.00
Close/Last	92.65	100.87	100.36	111.28	122.07	122.45	98.84	96.74	113.21	85.34	72.00	86.05