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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Pork Bellies(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 39 42 43 43 43 43 43 43 43 43
Closed Higher   12 20 20 25 19 25 17 27 18 27 23
Exceeded High   9 20 16 17 16 18 17 16 17 22 11
Scenario Percentage   75% 100% 80% 68% 84% 72% 100% 59% 94% 81% 48%
Avg Max Increase   17.76% 10.67% 10.85% 12.19% 11.58% 10.00% 12.24% 14.58% 14.64% 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 17 13 18 19 19 13 12
Avg Max Decline   -3.27% -4.74% -1.86% -2.35% -2.31% -3.17% -3.83% -3.04% -2.63% -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 7 5 14 8 6 7 2
2007 Contract Condition           Yes   Yes Yes Yes   Yes
Action           Yes   Yes Yes Yes   Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Feb Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 39 42 43 43 43 43 43 43 43 43
Closed Lower   17 19 22 18 24 18 26 15 25 16 20
Penetrated Low   13 13 15 14 19 12 19 10 17 13 14
Scenario Percentage   76% 68% 68% 78% 79% 67% 73% 67% 68% 81% 70%
Avg Max Decline   10.26% 7.52% 9.83% 8.81% 8.82% 11.33% 11.06% 9.87% 11.90% 13.29% 9.38%
Max Decline   18.85% 13.64% 21.02% 16.56% 20.85% 20.92% 20.28% 27.38% 31.47% 29.40% 20.47%
Avg Days To Max Decline   16 17 19 18 17 21 21 18 18 14 16
Avg Max Increase   -2.95% -2.87% -3.47% -4.35% -3.21% -3.60% -6.06% -6.49% -5.37% -4.64% -2.41%
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 14 15 12 11 10 4
2007 Contract Condition       Yes Yes   Yes       Yes  
Action       Yes No   Yes       Yes  
High     95.000 95.250 94.000 94.750 94.000 95.300 103.200 108.875 109.350 105.450
Low     93.750 89.800 88.500 89.300 90.200 90.800 90.000 102.100 100.000 98.500
Close/Last     93.750 93.200 93.000 94.600 90.700 94.500 102.800 104.100 100.400 101.500

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