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MRCI's ScenarioSM Study
ScenarioSM Study for February Pork Bellies(CME) as of Mar 19, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 22 31 36 38 38 38 38 38 38 38 38
Closed Higher 15 13 16 15 22 17 21 17 23 17 21
Exceeded High 9 10 11 13 20 14 18 14 18 15 12
Scenario Percentage 60% 77% 69% 87% 91% 82% 86% 82% 78% 88% 57%
Avg Max Increase 6.31% 9.91% 13.28% 16.01% 12.07% 10.69% 12.94% 12.90% 10.65% 10.95% 7.64%
Max Increase 9.95% 23.64% 41.19% 37.55% 23.57% 26.36% 36.65% 36.59% 37.19% 24.54% 16.22%
Avg Days To Max Increase 16 17 17 18 16 13 20 17 14 15 11
Avg Max Decline -1.66% -2.47% -2.87% -1.63% -4.07% -2.53% -4.33% -2.70% -4.21% -4.02% -2.04%
Max Decline -3.94% -6.25% -6.37% -11.79% -19.46% -10.64% -16.42% -7.24% -11.46% -11.63% -4.13%
Avg Days to Max Decline 8 8 8 9 9 7 11 7 6 10 3
2003 Contract Condition       Yes Yes   Yes Yes Yes Yes  
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 22 31 36 38 38 38 38 38 38 38 38
Closed Lower 7 18 20 22 16 20 17 21 15 21 17
Penetrated Low 6 17 19 16 12 14 15 16 13 14 10
Scenario Percentage 86% 94% 95% 73% 75% 70% 88% 76% 87% 67% 59%
Avg Max Decline 14.87% 10.77% 11.70% 13.16% 8.83% 11.26% 9.11% 9.49% 12.25% 10.97% 18.94%
Max Decline 30.13% 25.00% 25.24% 20.59% 16.57% 20.93% 16.56% 18.81% 19.45% 18.59% 47.01%
Avg Days To Max Decline 19 18 16 16 17 17 16 17 20 17 17
Avg Max Increase -1.99% -3.39% -3.40% -3.15% -3.18% -2.81% -4.58% -5.45% -3.49% -4.96% -4.33%
Max Increase -5.05% -9.30% -11.77% -12.98% -8.71% -7.75% -11.48% -13.70% -12.84% -10.17% -10.47%
Avg Days to Max Increase 4 10 8 8 8 9 12 12 9 9 9
2003 Contract Condition Yes Yes Yes     Yes         Yes
Action Yes Yes Yes     No         Yes
High 73.900 70.000 66.900 63.600 67.550 63.850 76.775 79.500 86.750 89.275 88.100
Low 69.000 64.400 59.500 58.500 62.050 57.925 59.900 71.800 77.500 80.050 77.600
Close/Last 70.250 64.400 60.300 62.250 63.925 61.900 76.775 78.825 85.850 86.200 82.575