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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Pork Bellies(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
31 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
| Closed Higher |
13 |
23 |
20 |
25 |
15 |
25 |
16 |
24 |
19 |
13 |
17 |
| Exceeded High |
9 |
17 |
15 |
18 |
14 |
17 |
15 |
18 |
15 |
11 |
13 |
| Scenario Percentage |
69% |
74% |
75% |
72% |
93% |
68% |
94% |
75% |
79% |
85% |
76% |
| Avg Max Increase |
12.02% |
11.05% |
11.60% |
9.12% |
11.25% |
13.36% |
15.60% |
13.60% |
11.59% |
10.41% |
13.67% |
| Max Increase |
27.71% |
27.69% |
30.54% |
29.32% |
31.18% |
39.32% |
40.78% |
35.18% |
41.09% |
36.57% |
35.03% |
| Avg Days To Max Increase |
19 |
19 |
15 |
14 |
19 |
21 |
21 |
14 |
16 |
11 |
20 |
| Avg Max Decline |
-1.94% |
-2.87% |
-2.07% |
-3.18% |
-3.41% |
-3.91% |
-3.02% |
-2.80% |
-3.32% |
-2.97% |
-2.44% |
| Max Decline |
-7.52% |
-8.78% |
-4.61% |
-7.06% |
-10.69% |
-10.55% |
-12.88% |
-8.44% |
-14.57% |
-7.74% |
-11.63% |
| Avg Days to Max Decline |
9 |
10 |
7 |
7 |
11 |
9 |
7 |
4 |
10 |
5 |
5 |
| 2002 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
| Action |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
|
|
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
31 |
39 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
40 |
| Closed Lower |
18 |
16 |
20 |
15 |
25 |
15 |
24 |
16 |
21 |
27 |
23 |
| Penetrated Low |
13 |
13 |
16 |
11 |
16 |
9 |
16 |
12 |
19 |
23 |
20 |
| Scenario Percentage |
72% |
81% |
80% |
73% |
64% |
60% |
67% |
75% |
90% |
85% |
87% |
| Avg Max Decline |
9.26% |
8.25% |
7.58% |
11.13% |
10.35% |
12.10% |
12.01% |
17.93% |
17.32% |
15.98% |
20.13% |
| Max Decline |
16.58% |
15.90% |
15.72% |
20.83% |
19.86% |
26.96% |
30.21% |
29.94% |
38.04% |
39.77% |
43.15% |
| Avg Days To Max Decline |
17 |
14 |
16 |
19 |
22 |
22 |
21 |
22 |
21 |
15 |
16 |
| Avg Max Increase |
-3.70% |
-3.51% |
-3.24% |
-2.72% |
-5.23% |
-5.61% |
-4.98% |
-4.13% |
-5.97% |
-5.09% |
-5.28% |
| Max Increase |
-10.00% |
-10.13% |
-11.67% |
-9.95% |
-9.99% |
-12.72% |
-12.33% |
-13.11% |
-18.42% |
-21.07% |
-33.16% |
| Avg Days to Max Increase |
7 |
9 |
10 |
9 |
15 |
14 |
11 |
10 |
16 |
7 |
-28 |
| 2002 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
|
Yes |
No |
|
|
No |
|
Yes |
Yes |
Yes |
|
| High |
84.000 |
87.300 |
76.500 |
80.850 |
84.250 |
83.500 |
84.400 |
84.800 |
77.400 |
69.300 |
65.725 |
| Low |
78.000 |
75.800 |
66.750 |
70.000 |
75.000 |
75.800 |
77.100 |
76.400 |
63.875 |
55.050 |
51.825 |
| Close/Last |
84.000 |
75.800 |
70.100 |
80.700 |
83.400 |
77.675 |
84.350 |
76.850 |
68.100 |
57.850 |
64.350 |
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