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MRCI's ScenarioSM Study
ScenarioSM Study for July Pork Bellies(CME) as of Aug 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 31 39 40 40 40 40 40 40 40 40 40
Closed Higher 13 23 20 25 15 25 16 24 19 13 17
Exceeded High 9 17 15 18 14 17 15 18 15 11 13
Scenario Percentage 69% 74% 75% 72% 93% 68% 94% 75% 79% 85% 76%
Avg Max Increase 12.02% 11.05% 11.60% 9.12% 11.25% 13.36% 15.60% 13.60% 11.59% 11.41% 14.57%
Max Increase 27.71% 27.69% 30.54% 29.32% 31.18% 39.32% 40.78% 35.18% 41.09% 36.57% 35.03%
Avg Days To Max Increase 19 19 15 14 19 21 21 14 16 12 20
Avg Max Decline -1.94% -2.87% -2.07% -3.18% -3.41% -3.91% -3.02% -2.80% -3.32% -2.97% -2.44%
Max Decline -7.52% -8.78% -4.61% -7.06% -10.69% -10.55% -12.88% -8.44% -14.57% -7.74% -11.63%
Avg Days to Max Decline 9 10 7 7 11 9 7 4 10 5 5
2004 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes No No   Yes Yes Yes Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 31 39 40 40 40 40 40 40 40 40 40
Closed Lower 18 16 20 15 25 15 24 16 21 27 23
Penetrated Low 13 13 16 11 16 9 16 12 19 23 20
Scenario Percentage 72% 81% 80% 73% 64% 60% 67% 75% 90% 85% 87%
Avg Max Decline 9.26% 8.25% 7.58% 11.13% 10.35% 12.10% 12.01% 17.93% 17.32% 15.98% 20.13%
Max Decline 16.58% 15.90% 15.72% 20.83% 19.86% 26.96% 30.21% 29.94% 38.04% 39.77% 43.15%
Avg Days To Max Decline 17 14 16 19 22 22 21 22 21 15 16
Avg Max Increase -3.70% -3.51% -3.24% -2.72% -5.23% -5.61% -4.98% -4.13% -5.97% -5.09% -5.40%
Max Increase -10.00% -10.13% -11.67% -9.95% -9.99% -12.72% -12.33% -13.11% -18.42% -21.07% -33.16%
Avg Days to Max Increase 7 9 10 9 15 14 11 10 16 7 -27
2004 Contract Condition         Yes            
Action         Yes            
High 86.500 93.600 94.900 92.400 91.250 88.350 98.975 108.300 109.850 117.600 117.900
Low 79.875 85.750 85.000 87.000 86.475 85.300 87.500 96.200 100.800 110.400 107.950
Close/Last 86.500 88.400 90.250 90.500 88.175 88.200 98.975 107.500 109.700 113.700 116.275