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MRCI's ScenarioSM Study
ScenarioSM Study for August Pork Bellies(CME) as of Oct 04, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 29 40 40 41 41 42 42 42 42 42 42
Closed Higher 14 18 25 19 24 16 26 20 16 19 21
Exceeded High 9 13 18 16 17 14 21 16 12 16 16
Scenario Percentage 64% 72% 72% 84% 71% 88% 81% 80% 75% 84% 76%
Avg Max Increase 10.07% 13.42% 10.88% 11.39% 12.46% 17.19% 12.99% 12.67% 16.56% 21.66% 13.87%
Max Increase 27.59% 28.41% 28.69% 31.88% 41.46% 44.62% 37.26% 40.28% 37.78% 47.90% 34.81%
Avg Days To Max Increase 21 18 16 19 21 23 15 15 19 15 12
Avg Max Decline -3.19% -1.86% -3.12% -2.85% -3.52% -2.55% -3.09% -3.43% -2.96% -4.22% -0.72%
Max Decline -6.95% -4.17% -7.10% -10.01% -10.22% -12.16% -10.89% -12.48% -7.90% -19.97% -11.47%
Avg Days to Max Decline 9 7 8 11 12 7 7 7 5 7 3
2004 Contract Condition   Yes Yes     Yes Yes   Yes Yes  
Action   No No     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 29 40 40 41 41 42 42 42 42 42 42
Closed Lower 15 21 14 21 16 26 16 21 26 23 21
Penetrated Low 12 18 10 14 10 18 11 18 24 18 15
Scenario Percentage 80% 86% 71% 67% 63% 69% 69% 86% 92% 78% 71%
Avg Max Decline 7.55% 7.97% 11.10% 8.54% 11.69% 11.33% 18.09% 17.15% 17.75% 17.02% 14.05%
Max Decline 17.72% 26.02% 21.17% 15.20% 27.41% 29.48% 30.80% 37.59% 39.70% 30.79% 41.40%
Avg Days To Max Decline 13 17 17 21 19 21 24 21 19 16 16
Avg Max Increase -3.81% -2.86% -2.74% -5.23% -4.72% -5.17% -4.85% -5.40% -5.06% -3.00% -4.32%
Max Increase -10.84% -11.81% -11.40% -10.89% -13.97% -13.70% -11.71% -18.63% -19.73% -14.75% -12.86%
Avg Days to Max Increase 8 9 10 17 11 12 17 12 10 7 6
2004 Contract Condition       Yes Yes     Yes     Yes
Action       Yes No     No     Yes
High 87.000 93.700 90.750 90.250 89.000 96.750 103.300 104.900 112.600 115.125 113.300
Low 87.000 86.500 86.850 87.000 84.300 86.500 93.050 98.000 105.000 106.250 101.750
Close/Last 87.000 89.500 90.000 89.000 85.950 96.500 103.100 102.775 109.550 112.850 104.100