|
MRCI's ScenarioSM Study |
ScenarioSM Study for December Cocoa(ICE) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Higher |
|
15 |
21 |
20 |
18 |
19 |
22 |
27 |
24 |
25 |
16 |
21 |
Exceeded High |
|
14 |
15 |
16 |
13 |
17 |
19 |
20 |
16 |
17 |
13 |
12 |
Scenario Percentage |
|
93% |
71% |
80% |
72% |
89% |
86% |
74% |
67% |
68% |
81% |
57% |
Avg Max Increase |
|
10.44% |
14.21% |
14.49% |
15.36% |
14.86% |
12.41% |
14.00% |
12.56% |
12.63% |
9.58% |
9.10% |
Max Increase |
|
23.84% |
49.61% |
45.37% |
39.09% |
50.35% |
27.94% |
39.24% |
33.03% |
28.13% |
24.57% |
24.48% |
Avg Days To Max Increase |
|
15 |
21 |
19 |
21 |
16 |
17 |
16 |
16 |
14 |
14 |
11 |
Avg Max Decline |
|
-2.02% |
-2.86% |
-3.60% |
-3.62% |
-4.30% |
-3.23% |
-4.35% |
-2.86% |
-3.67% |
-2.48% |
-1.64% |
Max Decline |
|
-9.11% |
-9.94% |
-6.94% |
-13.61% |
-11.33% |
-13.39% |
-13.88% |
-7.99% |
-9.29% |
-10.27% |
-8.68% |
Avg Days to Max Decline |
|
7 |
9 |
7 |
9 |
12 |
8 |
9 |
7 |
9 |
5 |
4 |
2010 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
|
|
|
|
Action |
|
|
|
Yes |
Not Yet |
|
|
|
|
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Tested Years |
|
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
Closed Lower |
|
29 |
24 |
25 |
27 |
26 |
23 |
18 |
19 |
20 |
29 |
24 |
Penetrated Low |
|
24 |
21 |
21 |
22 |
22 |
14 |
14 |
14 |
19 |
20 |
13 |
Scenario Percentage |
|
83% |
88% |
84% |
81% |
85% |
61% |
78% |
74% |
95% |
69% |
54% |
Avg Max Decline |
|
8.69% |
9.49% |
11.97% |
9.97% |
8.31% |
8.56% |
8.61% |
8.99% |
8.72% |
6.59% |
3.68% |
Max Decline |
|
27.85% |
24.40% |
27.24% |
25.77% |
27.24% |
20.77% |
25.69% |
16.80% |
27.01% |
11.52% |
8.19% |
Avg Days To Max Decline |
|
20 |
20 |
21 |
17 |
18 |
16 |
18 |
19 |
18 |
12 |
9 |
Avg Max Increase |
|
-1.85% |
-3.27% |
-2.78% |
-2.14% |
-2.77% |
-2.79% |
-2.77% |
-5.54% |
-2.58% |
-2.95% |
-2.55% |
Max Increase |
|
-8.89% |
-22.72% |
-11.90% |
-6.72% |
-14.59% |
-8.79% |
-9.04% |
-14.93% |
-12.90% |
-9.98% |
-6.67% |
Avg Days to Max Increase |
|
8 |
9 |
9 |
9 |
9 |
6 |
11 |
17 |
10 |
6 |
4 |
2010 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
|
|
|
|
|
Action |
|
Yes |
Yes |
|
|
Not Yet |
|
|
|
|
|
|
High |
3497 |
3497 |
3272 |
3072 |
3280 |
3279 |
3050 |
|
|
|
|
|
Low |
3231 |
3246 |
2988 |
2830 |
2886 |
2830 |
2959 |
|
|
|
|
|
Close/Last |
3293 |
3272 |
3001 |
3053 |
3272 |
3017 |
3043 |
|
|
|
|
|
|
|
Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
www.mrci.com | sales@mrci.com | Phone: 541-525-0521 |
|