MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	31	38	41	42	42	42	43	43	43	43	43
Closed Higher	14	16	19	22	20	25	20	24	17	26	19
Exceeded High	11	10	16	21	17	21	16	17	16	12	16
Scenario Percentage	79%	63%	84%	95%	85%	84%	80%	71%	94%	46%	84%
Avg Max Increase	9.04%	9.99%	14.50%	11.23%	10.84%	11.56%	12.19%	10.69%	11.88%	14.93%	11.09%
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	14	18	19	14	15	15	15
Avg Max Decline	-3.01%	-1.93%	-2.86%	-4.61%	-2.06%	-3.87%	-2.56%	-3.65%	-2.90%	-3.35%	-1.27%
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	12	8	11	9	5	12	9	3
2007 Contract Condition			Yes	Yes		Yes
Action			Yes	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	31	38	41	42	42	42	43	43	43	43	43
Closed Lower	17	22	22	20	22	16	23	18	26	17	24
Penetrated Low	15	19	15	12	14	13	17	14	20	10	16
Scenario Percentage	88%	86%	68%	60%	64%	81%	74%	78%	77%	59%	67%
Avg Max Decline	10.17%	11.39%	12.49%	8.44%	11.17%	8.75%	8.97%	11.91%	10.99%	9.71%	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	18	16	16	16	19	14	17	21	21	16	13
Avg Max Increase	-3.02%	-3.17%	-3.31%	-2.91%	-3.78%	-4.22%	-4.58%	-3.28%	-5.73%	-5.65%	-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
2007 Contract Condition	Yes	Yes			Yes
Action	No	No			Yes
High	86.550	85.650	88.500	94.250	93.500	92.500
Low	83.200	83.250	83.300	86.250	87.500	86.000
Close/Last	84.650	83.250	88.500	92.250	91.250	91.375