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MRCI's ScenarioSM Study
ScenarioSM Study for February Pork Bellies(CME) as of Nov 30, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 32 37 39 39 39 39 39 39 39 39 39
Closed Higher 13 17 16 22 18 22 18 24 17 21 19
Exceeded High 10 12 14 20 15 19 14 19 15 12  
Scenario Percentage 77% 71% 88% 91% 83% 86% 78% 79% 88% 57% 0%
Avg Max Increase 9.91% 12.57% 15.22% 12.07% 10.72% 12.69% 12.90% 10.18% 10.95% 7.64%  
Max Increase 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 16 18 16 13 20 17 13 15 11  
Avg Max Decline -2.47% -2.96% -2.01% -4.07% -2.50% -4.24% -2.70% -4.00% -4.02% -2.04%  
Max Decline -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 8 9 11 9 7 11 7 6 10 3  
2005 Contract Condition Yes Yes       Yes   Yes      
Action Yes No       No   Not Yet      
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 32 37 39 39 39 39 39 39 39 39 39
Closed Lower 19 20 22 17 20 17 21 15 22 18 20
Penetrated Low 17 19 16 13 14 15 16 13 15 9 20
Scenario Percentage 89% 95% 73% 76% 70% 88% 76% 87% 68% 50% 100%
Avg Max Decline 10.77% 11.70% 13.16% 8.37% 11.26% 9.11% 9.49% 12.25% 10.71% 6.49% 100.00%
Max Decline 25.00% 25.24% 20.59% 16.57% 20.93% 16.56% 18.81% 19.45% 20.04% 11.87% 100.00%
Avg Days To Max Decline 18 16 16 16 17 16 17 20 17 14 1
Avg Max Increase -3.39% -3.40% -3.15% -2.99% -2.81% -4.58% -5.45% -3.49% -4.74% -2.86% 100.00%
Max Increase -9.30% -11.77% -12.98% -8.71% -7.75% -11.48% -13.70% -12.84% -10.17% -6.37% 100.00%
Avg Days to Max Increase 10 8 8 7 9 12 12 9 9 4 1
2005 Contract Condition     Yes Yes Yes   Yes        
Action     Yes No No   Not Yet        
High 90.000 100.000 99.600 98.000 99.000 104.500 98.500 103.150      
Low 86.300 90.200 92.000 90.250 91.000 92.200 92.650 95.000      
Close/Last 89.100 98.050 96.500 92.950 92.425 97.375 94.800 101.850