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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 Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 41 44 45 45 45 45 45 45 45 45
Closed Higher   13 19 19 26 19 27 17 27 19 29 24
Exceeded High   10 19 15 17 16 19 17 17 18 23 12
Scenario Percentage   77% 100% 79% 65% 84% 70% 100% 63% 95% 79% 50%
Avg Max Increase   16.53% 11.01% 11.12% 12.43% 11.39% 9.70% 11.85% 14.04% 14.37% 13.59% 8.75%
Max Increase   38.71% 23.61% 26.30% 30.37% 32.68% 32.54% 29.93% 39.45% 39.22% 37.39% 14.47%
Avg Days To Max Increase   22 15 16 19 16 14 18 19 19 13 12
Avg Max Decline   -3.59% -4.99% -1.90% -2.60% -2.49% -3.33% -3.97% -2.99% -2.54% -3.61% -1.28%
Max Decline   -11.43% -18.84% -9.98% -7.85% -8.22% -7.93% -11.15% -8.16% -13.46% -11.14% -5.11%
Avg Days to Max Decline   15 12 5 10 8 8 14 8 6 7 2
2010 Contract Condition         Yes Yes   Yes   Yes Yes Yes
Action         Yes Yes   Yes   Yes Yes Yes
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 41 44 45 45 45 45 45 45 45 45
Closed Lower   18 22 25 19 26 18 28 17 26 16 21
Penetrated Low   14 16 17 15 20 13 21 12 18 13 15
Scenario Percentage   78% 73% 68% 79% 77% 72% 75% 71% 69% 81% 71%
Avg Max Decline   10.43% 7.40% 9.90% 8.82% 8.62% 10.78% 10.88% 9.48% 13.02% 13.46% 9.13%
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   17 17 19 18 17 20 21 17 18 14 16
Avg Max Increase   -2.65% -3.21% -3.52% -4.06% -3.49% -3.53% -5.63% -5.42% -5.48% -4.45% -2.81%
Max Increase   -12.71% -10.59% -11.62% -10.56% -12.50% -11.76% -11.20% -12.94% -15.99% -14.91% -8.43%
Avg Days to Max Increase   10 9 10 9 9 13 14 11 11 10 4
2010 Contract Condition   Yes Yes Yes     Yes   Yes      
Action   Yes Yes No     Yes   Yes      
High 91.300 93.000 87.500 83.000 90.250 91.450 89.250 92.500 92.750 91.300 99.150 100.150
Low 91.300 88.500 83.000 77.400 79.950 79.500 84.500 81.000 84.000 82.250 90.400 93.300
Close/Last 91.300 88.500 83.000 78.000 83.100 88.250 84.500 88.900 84.000 91.300 96.800 98.800

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