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MRCI's ScenarioSM Study
ScenarioSM Study for May Pork Bellies(CME) as of May 16, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 27 36 38 38 38 38 38 38 38 38 38
Closed Higher 12 19 18 21 16 23 16 24 14 24 20
Exceeded High 9 19 14 14 14 17 16 14 13 20 10
Scenario Percentage 75% 100% 78% 67% 88% 74% 100% 58% 93% 83% 50%
Avg Max Increase 17.76% 10.13% 10.73% 12.81% 12.38% 10.37% 12.05% 14.41% 17.01% 13.39% 8.77%
Max Increase 38.71% 23.61% 26.30% 30.37% 32.68% 32.54% 29.93% 39.45% 39.22% 37.39% 15.16%
Avg Days To Max Increase 23 14 15 19 15 14 19 19 20 13 11
Avg Max Decline -3.27% -4.69% -2.07% -2.46% -2.21% -3.02% -3.77% -3.42% -2.87% -3.19% -1.10%
Max Decline -11.43% -18.84% -9.98% -7.85% -6.07% -7.93% -11.15% -8.16% -13.46% -11.14% -4.23%
Avg Days to Max Decline 13 12 7 11 7 5 14 8 7 6 2
2003 Contract Condition   Yes   Yes Yes Yes     Yes Yes  
Action   Yes   Yes Yes Yes     Yes Yes  
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 27 36 38 38 38 38 38 38 38 38 38
Closed Lower 15 17 20 17 22 15 22 13 24 14 18
Penetrated Low 12 12 14 14 18 9 16 9 16 11 13
Scenario Percentage 80% 71% 70% 82% 82% 60% 73% 69% 67% 79% 72%
Avg Max Decline 10.51% 7.99% 10.17% 8.81% 8.91% 13.07% 11.19% 10.57% 12.04% 14.44% 11.25%
Max Decline 18.85% 13.64% 21.02% 16.56% 20.85% 20.92% 20.28% 27.38% 31.47% 29.40% 28.73%
Avg Days To Max Decline 15 17 19 18 16 22 22 20 17 15 12
Avg Max Increase -3.11% -3.10% -3.66% -4.35% -3.22% -3.75% -6.48% -7.04% -5.11% -4.91% -2.16%
Max Increase -12.71% -8.22% -11.62% -10.56% -12.50% -11.76% -11.20% -12.94% -12.77% -14.91% -7.33%
Avg Days to Max Increase 11 8 10 9 8 15 17 14 10 10 3
2003 Contract Condition Yes   Yes       Yes Yes     Yes
Action No   No       Yes No     Yes
High 60.750 65.750 64.500 78.000 79.950 86.500 88.900 86.800 90.550 92.250 90.850
Low 59.750 61.500 60.900 62.500 74.050 79.100 81.200 79.450 81.550 85.400 81.300
Close/Last 59.750 64.600 63.475 78.000 79.950 85.900 85.400 83.300 89.150 89.725 87.875