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| MRCI's ScenarioSM Study |
| ScenarioSM Study for February Pork Bellies(CME) as of Sep 10, 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 |
| Tested Years |
27 |
38 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Higher |
19 |
16 |
20 |
17 |
24 |
19 |
27 |
20 |
27 |
19 |
23 |
| Exceeded High |
12 |
13 |
13 |
15 |
22 |
15 |
22 |
16 |
19 |
16 |
14 |
| Scenario Percentage |
63% |
81% |
65% |
88% |
92% |
79% |
81% |
80% |
70% |
84% |
61% |
| Avg Max Increase |
6.40% |
9.20% |
12.12% |
14.95% |
11.67% |
10.72% |
12.04% |
11.53% |
10.18% |
10.89% |
6.98% |
| 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 |
17 |
16 |
18 |
16 |
13 |
19 |
17 |
13 |
13 |
10 |
| Avg Max Decline |
-1.50% |
-2.03% |
-2.79% |
-1.90% |
-4.11% |
-2.50% |
-4.24% |
-3.36% |
-4.00% |
-4.03% |
-1.81% |
| Max Decline |
-4.17% |
-6.25% |
-6.37% |
-11.79% |
-19.46% |
-10.64% |
-16.42% |
-9.85% |
-11.46% |
-11.63% |
-4.13% |
| Avg Days to Max Decline |
8 |
7 |
8 |
11 |
10 |
7 |
10 |
9 |
6 |
10 |
2 |
| 2010 Contract Condition |
Yes |
|
Yes |
|
|
|
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
|
Yes |
|
|
|
Yes |
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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
27 |
38 |
43 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
45 |
| Closed Lower |
8 |
22 |
23 |
27 |
21 |
25 |
18 |
25 |
18 |
26 |
22 |
| Penetrated Low |
6 |
19 |
21 |
20 |
16 |
17 |
16 |
18 |
16 |
19 |
15 |
| Scenario Percentage |
75% |
86% |
91% |
74% |
76% |
68% |
89% |
72% |
89% |
73% |
68% |
| Avg Max Decline |
14.87% |
10.63% |
11.72% |
12.40% |
8.31% |
10.52% |
9.29% |
9.24% |
11.60% |
10.14% |
16.02% |
| 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 |
19 |
16 |
17 |
16 |
17 |
16 |
18 |
19 |
16 |
16 |
| Avg Max Increase |
-1.99% |
-3.56% |
-3.03% |
-3.11% |
-3.92% |
-2.57% |
-4.32% |
-5.71% |
-3.11% |
-4.62% |
-3.97% |
| Max Increase |
-5.05% |
-9.30% |
-11.77% |
-12.98% |
-14.18% |
-7.75% |
-11.48% |
-13.70% |
-12.84% |
-10.17% |
-15.40% |
| Avg Days to Max Increase |
4 |
11 |
8 |
11 |
8 |
8 |
12 |
13 |
9 |
8 |
7 |
| 2010 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
Yes |
| Action |
|
Yes |
|
Yes |
Yes |
No |
|
|
Yes |
|
Yes |
| High |
92.000 |
93.400 |
91.250 |
95.000 |
88.000 |
83.900 |
89.480 |
91.700 |
89.730 |
92.000 |
91.550 |
| Low |
83.500 |
88.250 |
88.250 |
84.350 |
80.000 |
74.450 |
76.250 |
76.400 |
83.200 |
80.500 |
81.200 |
| Close/Last |
90.100 |
88.250 |
89.000 |
86.350 |
81.250 |
76.250 |
81.700 |
89.300 |
86.050 |
88.000 |
81.500 |
|
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