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| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Pork Bellies(CME) as of Jul 31, 2006 |
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 |
| Tested Years |
24 |
34 |
39 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Higher |
17 |
14 |
18 |
16 |
23 |
18 |
24 |
18 |
25 |
17 |
21 |
| Exceeded High |
11 |
11 |
12 |
14 |
21 |
15 |
20 |
14 |
19 |
15 |
12 |
| Scenario Percentage |
65% |
79% |
67% |
88% |
91% |
83% |
83% |
78% |
76% |
88% |
57% |
| Avg Max Increase |
6.64% |
10.13% |
12.57% |
15.22% |
12.05% |
10.72% |
12.50% |
12.90% |
10.18% |
10.49% |
7.17% |
| Max Increase |
15.87% |
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 |
16 |
18 |
16 |
13 |
19 |
17 |
13 |
13 |
10 |
| Avg Max Decline |
-1.74% |
-2.14% |
-2.96% |
-2.01% |
-4.04% |
-2.50% |
-4.04% |
-2.70% |
-4.00% |
-4.02% |
-1.73% |
| Max Decline |
-4.17% |
-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 |
8 |
9 |
11 |
10 |
7 |
10 |
7 |
6 |
10 |
2 |
| 2006 Contract Condition |
|
|
|
|
Yes |
|
Yes |
|
|
|
|
| Action |
|
|
|
|
Yes |
|
Yes |
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|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
24 |
34 |
39 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
41 |
| Closed Lower |
7 |
20 |
21 |
24 |
18 |
22 |
17 |
23 |
16 |
24 |
20 |
| Penetrated Low |
6 |
18 |
20 |
17 |
13 |
15 |
15 |
17 |
14 |
17 |
13 |
| Scenario Percentage |
86% |
90% |
95% |
71% |
72% |
68% |
88% |
74% |
88% |
71% |
65% |
| Avg Max Decline |
14.87% |
10.97% |
11.62% |
12.76% |
8.37% |
10.66% |
9.11% |
9.41% |
12.50% |
10.33% |
17.70% |
| Max Decline |
30.13% |
25.00% |
25.24% |
20.59% |
16.57% |
20.93% |
16.56% |
18.81% |
19.45% |
17.36% |
47.01% |
| Avg Days To Max Decline |
19 |
18 |
17 |
17 |
16 |
16 |
16 |
18 |
20 |
16 |
17 |
| Avg Max Increase |
-1.99% |
-3.33% |
-3.20% |
-3.06% |
-2.99% |
-2.63% |
-4.58% |
-5.43% |
-3.35% |
-4.89% |
-4.58% |
| Max Increase |
-5.05% |
-9.30% |
-11.77% |
-12.98% |
-8.71% |
-7.75% |
-11.48% |
-13.70% |
-12.84% |
-10.17% |
-15.40% |
| Avg Days to Max Increase |
4 |
10 |
8 |
8 |
7 |
8 |
12 |
12 |
9 |
9 |
8 |
| 2006 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
| Action |
|
Yes |
Yes |
No |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
| High |
87.050 |
92.500 |
88.950 |
82.450 |
83.650 |
87.350 |
91.750 |
98.400 |
93.650 |
89.550 |
88.500 |
| Low |
76.000 |
85.500 |
82.000 |
74.500 |
76.500 |
79.850 |
79.200 |
85.450 |
85.800 |
81.800 |
74.350 |
| Close/Last |
87.050 |
87.000 |
82.850 |
76.200 |
82.100 |
81.075 |
90.275 |
89.025 |
88.250 |
82.150 |
75.975 |
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