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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(NYBOT) as of Oct 31, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 44 44 44 44 44 44 44 44 44 44 44
Closed Higher 14 17 19 19 16 22 24 24 25 16 19
Exceeded High 12 12 14 14 14 18 17 18 18 11 11
Scenario Percentage 86% 71% 74% 74% 88% 82% 71% 75% 72% 69% 58%
Avg Max Increase 9.68% 15.55% 16.59% 13.12% 14.14% 12.62% 15.27% 12.16% 12.39% 9.29% 7.27%
Max Increase 23.84% 49.61% 45.37% 39.09% 50.35% 27.94% 39.24% 33.03% 28.13% 19.58% 24.48%
Avg Days To Max Increase 16 22 19 16 15 18 16 17 15 14 9
Avg Max Decline -2.07% -2.84% -3.22% -2.66% -3.91% -3.22% -3.78% -2.68% -3.30% -1.80% -1.11%
Max Decline -9.11% -9.94% -6.94% -13.61% -10.15% -13.39% -13.88% -7.99% -9.29% -10.27% -7.88%
Avg Days to Max Decline 8 10 8 7 11 9 8 7 8 4 3
2004 Contract Condition   Yes     Yes   Yes Yes   Yes  
Action   No     Yes   Yes No   Not Yet  
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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 44 44 44 44 44 44 44 44 44 44 44
Closed Lower 30 27 25 25 28 22 20 18 19 28 25
Penetrated Low 26 23 20 20 22 14 15 15 16 20 21
Scenario Percentage 87% 85% 80% 80% 79% 64% 75% 83% 84% 71% 84%
Avg Max Decline 8.84% 9.28% 11.66% 10.55% 9.02% 8.88% 7.62% 8.82% 8.07% 6.84% 23.60%
Max Decline 27.85% 24.40% 27.24% 25.77% 27.24% 20.77% 25.69% 16.80% 16.36% 11.52% 70.80%
Avg Days To Max Decline 19 20 20 19 18 17 17 18 19 13 13
Avg Max Increase -1.43% -2.88% -2.76% -2.22% -1.77% -2.84% -2.09% -4.14% -2.88% -2.82% -6.49%
Max Increase -8.89% -22.72% -11.90% -6.72% -11.15% -8.79% -9.04% -14.93% -12.90% -9.98% -23.71%
Avg Days to Max Increase 7 7 9 10 7 7 10 14 12 6 -26
2004 Contract Condition Yes   Yes Yes   Yes     Yes   Yes
Action Yes   Yes Yes   Yes     Yes    
High 1706 1598 1572 1575 1490 1473 1686 1765 1639 1500 1469
Low 1488 1468 1415 1360 1322 1345 1315 1568 1431 1390 1451
Close/Last 1513 1582 1562 1430 1483 1352 1660 1686 1453 1469 1453