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MRCI's ScenarioSM Study
ScenarioSM Study for May Cocoa(NYBOT) as of May 16, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 43 43 44 44 44 44 44 44 44 44 44
Closed Higher 22 24 25 21 15 16 21 14 16 20 21
Exceeded High 18 17 20 15 12 12 16 13 12 15 10
Scenario Percentage 82% 71% 80% 71% 80% 75% 76% 93% 75% 75% 48%
Avg Max Increase 11.82% 14.78% 11.38% 12.35% 9.58% 9.10% 13.96% 10.12% 19.39% 11.89% 6.07%
Max Increase 27.80% 37.58% 34.66% 26.15% 18.14% 23.51% 56.27% 25.81% 65.86% 37.45% 20.25%
Avg Days To Max Increase 17 15 17 16 15 13 15 18 22 11 8
Avg Max Decline -1.63% -3.08% -2.34% -3.27% -1.54% -4.10% -3.31% -3.40% -3.30% -3.40% -1.15%
Max Decline -7.49% -12.03% -9.43% -8.69% -8.39% -9.06% -13.44% -13.28% -10.58% -7.85% -4.93%
Avg Days to Max Decline 7 6 8 9 6 11 8 10 13 6 2
2003 Contract Condition Yes Yes Yes Yes     Yes Yes     Yes
Action Yes Yes Yes Yes     Yes Yes     Not Yet
Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 43 43 44 44 44 44 44 44 44 44 44
Closed Lower 21 19 19 22 29 28 23 30 28 24 23
Penetrated Low 12 15 17 17 23 21 19 25 23 19 18
Scenario Percentage 57% 79% 89% 77% 79% 75% 83% 83% 82% 79% 78%
Avg Max Decline 9.00% 6.89% 8.41% 7.80% 7.60% 7.89% 10.69% 10.59% 11.08% 11.16% 14.08%
Max Decline 21.79% 24.31% 17.38% 13.91% 13.61% 19.75% 26.50% 31.56% 30.75% 25.76% 57.67%
Avg Days To Max Decline 17 17 20 21 16 17 14 19 20 13 11
Avg Max Increase -2.42% -1.47% -3.23% -2.33% -2.44% -2.90% -3.24% -1.48% -3.46% -3.27% -2.61%
Max Increase -6.44% -6.64% -13.43% -8.12% -13.00% -11.04% -13.94% -8.99% -23.79% -10.49% -13.84%
Avg Days to Max Increase 7 13 13 13 7 11 9 8 8 8 3
2003 Contract Condition         Yes Yes     Yes Yes  
Action         Yes No     Yes Yes  
High 1622 1808 2043 2219 2395 1900 2100 2365 2375 2070 2110
Low 1402 1640 1718 1961 1855 1655 1740 2022 1940 1892 1843
Close/Last 1619 1789 2022 2210 1903 1693 2006 2354 2034 1960 2076