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MRCI's ScenarioSM Study
ScenarioSM Study for February Pork Bellies(CME) as of May 07, 2004
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 23 32 37 39 39 39 39 39 39 39 39
Closed Higher 16 13 17 16 22 18 22 18 24 17 21
Exceeded High 10 10 12 14 20 15 19 14 19 15 12
Scenario Percentage 63% 77% 71% 88% 91% 83% 86% 78% 79% 88% 57%
Avg Max Increase 5.72% 9.91% 12.57% 15.22% 12.07% 10.72% 12.69% 12.90% 10.18% 10.83% 7.57%
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 17 17 16 18 16 13 20 17 13 15 11
Avg Max Decline -1.91% -2.47% -2.96% -2.01% -4.07% -2.50% -4.24% -2.70% -4.00% -4.02% -2.04%
Max Decline -4.17% -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 9 8 9 11 9 7 11 7 6 10 3
2004 Contract Condition Yes   Yes Yes   Yes Yes Yes Yes    
Action Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 23 32 37 39 39 39 39 39 39 39 39
Closed Lower 7 19 20 22 17 20 17 21 15 22 18
Penetrated Low 6 17 19 16 13 14 15 16 13 15 11
Scenario Percentage 86% 89% 95% 73% 76% 70% 88% 76% 87% 68% 61%
Avg Max Decline 14.87% 10.77% 11.70% 13.16% 8.37% 11.26% 9.11% 9.49% 12.25% 10.38% 19.03%
Max Decline 30.13% 25.00% 25.24% 20.59% 16.57% 20.93% 16.56% 18.81% 19.45% 17.36% 47.01%
Avg Days To Max Decline 19 18 16 16 16 17 16 17 20 17 17
Avg Max Increase -1.99% -3.39% -3.40% -3.15% -2.99% -2.81% -4.58% -5.45% -3.49% -4.74% -5.33%
Max Increase -5.05% -9.30% -11.77% -12.98% -8.71% -7.75% -11.48% -13.70% -12.84% -10.17% -15.40%
Avg Days to Max Increase 4 10 8 8 7 9 12 12 9 9 10
2004 Contract Condition   Yes     Yes         Yes Yes
Action   No     Yes         Yes Yes
High 80.500 80.000 80.650 83.250 84.000 86.050 90.800 93.400 89.400 89.500 87.900
Low 79.250 77.000 77.525 77.000 77.600 76.400 82.275 82.525 84.000 82.725 81.700
Close/Last 80.350 77.500 80.150 82.000 78.650 84.075 86.350 87.525 88.075 86.475 84.925