MRCI Online
|
| ScenarioSM Study for March Pork Bellies(CME) as of Dec 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
| Tested Years | 34 | 41 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
| Closed Higher | 15 | 17 | 21 | 22 | 19 | 27 | 20 | 26 | 17 | 26 | 20 | |
| Exceeded High | 12 | 11 | 18 | 20 | 16 | 22 | 15 | 18 | 16 | 14 | 17 | |
| Scenario Percentage | 80% | 65% | 86% | 91% | 84% | 81% | 75% | 69% | 94% | 54% | 85% | |
| Avg Max Increase | 8.74% | 9.68% | 13.57% | 11.62% | 11.09% | 11.42% | 12.34% | 10.39% | 12.36% | 13.55% | 10.88% | |
| Max Increase | 23.65% | 40.66% | 38.83% | 23.22% | 25.28% | 34.86% | 34.81% | 33.59% | 27.71% | 37.07% | 42.07% | |
| Avg Days To Max Increase | 14 | 14 | 19 | 17 | 14 | 19 | 17 | 15 | 15 | 14 | 16 | |
| Avg Max Decline | -2.90% | -1.78% | -3.17% | -4.87% | -2.23% | -4.23% | -3.05% | -3.90% | -3.23% | -3.21% | -1.11% | |
| Max Decline | -10.89% | -5.57% | -9.09% | -19.52% | -11.62% | -17.03% | -10.26% | -8.07% | -10.59% | -8.04% | -4.63% | |
| Avg Days to Max Decline | 9 | 4 | 12 | 12 | 7 | 11 | 9 | 8 | 12 | 8 | 4 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
| Action | Yes | Yes | Yes | Yes | Yes | |||||||
| Copyright © 1989- Moore Research Center, Inc. All Rights Reserved. |
|---|
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
