MRCI's ScenarioSM Study

ScenarioSM Study for September Cocoa(NYBOT) as of Sep 30, 2002
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	43	43	43	43	43	43	43	43	43	43	43
Closed Higher	16	19	21	13	16	19	18	16	20	22	24
Exceeded High	13	15	15	11	12	14	14	14	16	17	16
Scenario Percentage	81%	79%	71%	85%	75%	74%	78%	88%	80%	77%	67%
Avg Max Increase	8.57%	10.42%	12.76%	10.40%	17.41%	16.05%	14.15%	14.01%	12.67%	11.50%	7.68%
Max Increase	17.92%	45.79%	52.55%	23.81%	58.68%	46.19%	47.16%	58.40%	32.22%	23.07%	25.09%
Avg Days To Max Increase	14	14	14	14	21	17	16	16	17	12	10
Avg Max Decline	-1.58%	-2.78%	-2.13%	-1.55%	-2.80%	-3.11%	-2.82%	-4.15%	-3.38%	-4.53%	-0.88%
Max Decline	-6.65%	-8.84%	-8.99%	-4.86%	-10.54%	-7.25%	-13.32%	-10.75%	-9.24%	-15.06%	-4.36%
Avg Days to Max Decline	6	8	7	6	9	8	7	11	7	8	3
2002 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes

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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	43	43	43	43	43	43	43	43	43	43	43
Closed Lower	27	24	22	29	27	22	25	26	22	20	19
Penetrated Low	22	20	18	24	22	17	20	21	14	16	13
Scenario Percentage	81%	83%	82%	83%	81%	77%	80%	81%	64%	80%	68%
Avg Max Decline	6.55%	7.05%	9.33%	9.81%	10.35%	12.08%	11.33%	9.50%	9.73%	6.85%	17.81%
Max Decline	13.02%	19.52%	23.79%	29.18%	25.83%	28.30%	29.04%	27.52%	22.78%	20.98%	75.95%
Avg Days To Max Decline	16	18	17	18	21	18	20	17	16	12	11
Avg Max Increase	-2.10%	-1.79%	-2.92%	-1.23%	-3.29%	-2.79%	-2.71%	-1.57%	-3.64%	-2.45%	-2.13%
Max Increase	-11.80%	-8.02%	-10.62%	-8.98%	-23.33%	-10.67%	-8.82%	-9.41%	-13.43%	-8.46%	-11.75%
Avg Days to Max Increase	8	9	11	8	7	8	10	7	6	6	4
2002 Contract Condition	Yes		Yes
Action	No		No
High	1142	1323	1305	1360	1447	1533	1528	1600	1663	1843	2033
Low	992	1003	1186	1230	1316	1435	1405	1422	1429	1632	1695
Close/Last	1030	1301	1266	1312	1422	1462	1474	1578	1647	1787	2012