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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Pork Bellies(CME) as of Jul 14, 2005 |
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 |
30 |
37 |
40 |
41 |
41 |
41 |
42 |
42 |
42 |
42 |
42 |
| Closed Higher |
14 |
16 |
19 |
21 |
19 |
24 |
20 |
24 |
17 |
26 |
18 |
| Exceeded High |
11 |
10 |
16 |
20 |
16 |
20 |
16 |
17 |
16 |
12 |
15 |
| Scenario Percentage |
79% |
63% |
84% |
95% |
84% |
83% |
80% |
71% |
94% |
46% |
83% |
| Avg Max Increase |
9.04% |
9.99% |
14.50% |
11.16% |
10.21% |
11.67% |
12.19% |
10.69% |
11.88% |
14.93% |
11.56% |
| 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 |
15 |
15 |
18 |
16 |
15 |
18 |
19 |
14 |
15 |
15 |
16 |
| Avg Max Decline |
-3.01% |
-1.93% |
-2.86% |
-4.77% |
-2.05% |
-4.17% |
-2.56% |
-3.65% |
-2.90% |
-3.35% |
-1.35% |
| Max Decline |
-10.89% |
-5.57% |
-9.09% |
-19.52% |
-11.62% |
-17.03% |
-6.81% |
-7.85% |
-10.59% |
-8.04% |
-4.63% |
| Avg Days to Max Decline |
10 |
4 |
13 |
11 |
8 |
12 |
9 |
5 |
12 |
9 |
3 |
| 2002 Contract Condition |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
| Action |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
Yes |
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 |
30 |
37 |
40 |
41 |
41 |
41 |
42 |
42 |
42 |
42 |
42 |
| Closed Lower |
16 |
21 |
21 |
20 |
22 |
16 |
22 |
17 |
25 |
16 |
24 |
| Penetrated Low |
14 |
18 |
15 |
12 |
14 |
13 |
16 |
13 |
19 |
9 |
16 |
| Scenario Percentage |
88% |
86% |
71% |
60% |
64% |
81% |
73% |
76% |
76% |
56% |
67% |
| Avg Max Decline |
10.02% |
11.49% |
12.49% |
8.44% |
11.17% |
8.75% |
9.11% |
11.71% |
10.89% |
10.44% |
15.39% |
| Max Decline |
25.73% |
23.52% |
19.70% |
16.63% |
21.51% |
16.82% |
18.99% |
20.49% |
20.80% |
26.99% |
40.23% |
| Avg Days To Max Decline |
17 |
17 |
16 |
16 |
19 |
14 |
16 |
21 |
22 |
17 |
13 |
| Avg Max Increase |
-3.24% |
-3.43% |
-3.31% |
-2.91% |
-3.78% |
-4.22% |
-4.54% |
-3.38% |
-5.67% |
-6.08% |
-4.19% |
| Max Increase |
-9.70% |
-12.17% |
-12.81% |
-8.53% |
-12.42% |
-10.72% |
-13.20% |
-12.33% |
-12.33% |
-13.87% |
-12.08% |
| Avg Days to Max Increase |
11 |
9 |
9 |
8 |
9 |
8 |
10 |
10 |
14 |
9 |
8 |
| 2002 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
| Action |
Yes |
No |
|
No |
|
Yes |
No |
|
|
Not Yet |
|
| High |
82.000 |
73.000 |
81.500 |
81.050 |
81.800 |
84.700 |
77.050 |
79.200 |
81.925 |
82.500 |
82.100 |
| Low |
72.050 |
66.950 |
70.350 |
71.900 |
74.500 |
74.000 |
64.800 |
68.600 |
72.500 |
73.700 |
74.025 |
| Close/Last |
72.050 |
72.000 |
79.050 |
77.800 |
81.000 |
74.050 |
69.600 |
78.675 |
81.250 |
75.450 |
82.050 |
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