|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Pork Bellies(CME) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jun |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
28 |
38 |
41 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Higher |
12 |
20 |
20 |
25 |
18 |
25 |
16 |
26 |
17 |
27 |
22 |
| Exceeded High |
9 |
20 |
16 |
17 |
15 |
18 |
16 |
15 |
16 |
22 |
11 |
| Scenario Percentage |
75% |
100% |
80% |
68% |
83% |
72% |
100% |
58% |
94% |
81% |
50% |
| Avg Max Increase |
17.76% |
10.67% |
10.85% |
12.15% |
12.30% |
9.99% |
12.05% |
15.12% |
15.24% |
13.44% |
8.93% |
| 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 |
15 |
16 |
18 |
16 |
15 |
19 |
20 |
20 |
13 |
12 |
| Avg Max Decline |
-3.27% |
-4.74% |
-1.86% |
-2.32% |
-2.13% |
-3.16% |
-3.77% |
-3.20% |
-2.76% |
-3.61% |
-0.95% |
| 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 |
11 |
6 |
10 |
8 |
5 |
14 |
8 |
6 |
7 |
2 |
| 2007 Contract Condition |
|
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
|
| Action |
|
|
|
|
No |
|
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 |
Jun |
Jun |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
28 |
38 |
41 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Lower |
16 |
18 |
21 |
17 |
24 |
17 |
26 |
15 |
25 |
15 |
20 |
| Penetrated Low |
12 |
13 |
14 |
14 |
19 |
11 |
19 |
10 |
17 |
12 |
15 |
| Scenario Percentage |
75% |
72% |
67% |
82% |
79% |
65% |
73% |
67% |
68% |
80% |
75% |
| Avg Max Decline |
10.51% |
7.52% |
10.17% |
8.81% |
8.82% |
12.28% |
11.06% |
9.87% |
11.89% |
13.89% |
11.93% |
| 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 |
17 |
23 |
21 |
18 |
18 |
15 |
13 |
| Avg Max Increase |
-3.11% |
-2.87% |
-3.66% |
-4.35% |
-3.20% |
-3.46% |
-6.05% |
-6.49% |
-5.37% |
-4.61% |
-2.81% |
| Max Increase |
-12.71% |
-8.22% |
-11.62% |
-10.56% |
-12.50% |
-11.76% |
-11.20% |
-12.94% |
-12.77% |
-14.91% |
-12.89% |
| Avg Days to Max Increase |
11 |
8 |
10 |
9 |
8 |
15 |
15 |
12 |
11 |
10 |
4 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
|
|
|
|
|
| Action |
|
|
Yes |
No |
|
Yes |
|
|
|
|
|
| High |
|
95.000 |
95.250 |
94.000 |
94.750 |
93.800 |
94.500 |
103.150 |
108.875 |
|
|
| Low |
|
93.750 |
89.800 |
88.500 |
89.550 |
90.200 |
90.800 |
90.000 |
102.100 |
|
|
| Close/Last |
|
93.750 |
93.200 |
93.000 |
94.600 |
90.700 |
94.500 |
102.800 |
104.100 |
|
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