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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Pork Bellies(CME) as of Nov 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 |
Yes |
|
|
|
|
| Action |
|
|
Yes |
No |
|
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 |
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 |
|
|
Yes |
|
|
|
| Action |
No |
No |
|
|
Yes |
|
|
Not Yet |
|
|
|
| High |
86.550 |
85.650 |
88.500 |
94.250 |
93.500 |
92.500 |
93.800 |
93.000 |
|
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|
| Low |
83.200 |
83.250 |
83.300 |
86.250 |
87.500 |
86.000 |
87.050 |
88.350 |
|
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|
| Close/Last |
84.650 |
83.250 |
88.500 |
92.250 |
91.250 |
91.375 |
93.650 |
91.300 |
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