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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(NYBOT) as of Jul 08, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 43 43 43 43 43 43 43 43 43 43 43
Closed Higher 22 22 15 17 20 13 16 20 18 17 20
Exceeded High 18 16 12 12 16 11 12 14 14 14 16
Scenario Percentage 82% 73% 80% 71% 80% 85% 75% 70% 78% 82% 80%
Avg Max Increase 9.65% 10.96% 9.47% 8.69% 12.39% 10.50% 18.79% 16.42% 13.63% 12.43% 8.06%
Max Increase 34.26% 26.44% 18.48% 22.99% 54.06% 24.64% 67.00% 45.98% 47.32% 40.90% 23.61%
Avg Days To Max Increase 18 16 14 11 14 18 22 18 16 11 9
Avg Max Decline -2.40% -3.06% -1.31% -3.88% -2.48% -2.37% -3.39% -3.23% -3.18% -4.18% -0.57%
Max Decline -6.88% -8.37% -7.34% -9.28% -10.04% -5.18% -10.57% -7.72% -12.50% -10.64% -4.84%
Avg Days to Max Decline 9 9 7 9 7 8 13 8 10 8 2
2003 Contract Condition Yes Yes     Yes Yes     Yes   Yes
Action Yes Yes     Yes Yes     No   Yes
Copyright © 2003 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 43 43 43 43 43 43 43 43 43 43 43
Closed Lower 20 21 28 25 23 30 27 23 25 26 23
Penetrated Low 17 16 23 20 19 24 22 19 20 20 11
Scenario Percentage 85% 76% 82% 80% 83% 80% 81% 83% 80% 77% 48%
Avg Max Decline 8.45% 7.66% 7.26% 7.29% 10.10% 10.56% 10.92% 12.32% 11.72% 9.65% 14.46%
Max Decline 17.01% 14.69% 15.93% 19.16% 24.80% 30.20% 26.80% 29.45% 31.58% 26.74% 51.31%
Avg Days To Max Decline 19 19 16 18 15 19 21 18 19 13 11
Avg Max Increase -3.38% -1.95% -2.25% -2.62% -2.97% -1.27% -3.63% -3.13% -3.07% -1.77% -2.42%
Max Increase -11.43% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -10.66% -12.36% -9.79% -11.66%
Avg Days to Max Increase 16 12 6 10 10 8 8 12 10 5 4
2003 Contract Condition     Yes Yes     Yes Yes   Yes  
Action     Yes No     Yes Yes   Yes  
High 2042 2230 2398 1876 2073 2307 2320 2015 2023 2010 1706
Low 1716 1975 1865 1645 1730 2007 1905 1849 1800 1460 1420
Close/Last 2024 2218 1898 1679 1986 2307 1999 1901 1991 1493 1681