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MRCI's ScenarioSM Study
ScenarioSM Study for February Pork Bellies(CME) as of Sep 30, 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
2007 Contract Condition Yes     Yes Yes   Yes        
Action No     Yes Yes   Not Yet        
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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
2007 Contract Condition   Yes Yes     Yes          
Action   No No     Yes          
High 86.850 86.300 85.400 88.000 94.400 96.000 94.000        
Low 85.500 82.950 83.000 83.500 86.000 87.200 85.700        
Close/Last 86.250 85.000 83.000 86.300 92.650 91.500 92.025