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| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
31 |
40 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Higher |
13 |
24 |
21 |
26 |
15 |
26 |
17 |
25 |
20 |
13 |
18 |
| Exceeded High |
9 |
18 |
15 |
18 |
14 |
17 |
16 |
18 |
16 |
11 |
13 |
| Scenario Percentage |
69% |
75% |
71% |
69% |
93% |
65% |
94% |
72% |
80% |
85% |
72% |
| Avg Max Increase |
12.02% |
10.59% |
11.60% |
9.12% |
11.25% |
13.36% |
14.72% |
13.60% |
11.85% |
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 |
20 |
14 |
16 |
11 |
20 |
| Avg Max Decline |
-1.94% |
-2.92% |
-2.07% |
-3.18% |
-3.41% |
-3.91% |
-2.86% |
-2.80% |
-3.68% |
-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 |
6 |
4 |
11 |
5 |
5 |
| 2007 Contract Condition |
|
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
|
Yes |
|
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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
31 |
40 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
42 |
| Closed Lower |
18 |
16 |
21 |
16 |
27 |
16 |
25 |
17 |
22 |
29 |
24 |
| Penetrated Low |
13 |
13 |
16 |
12 |
18 |
10 |
17 |
13 |
20 |
24 |
20 |
| Scenario Percentage |
72% |
81% |
76% |
75% |
67% |
63% |
68% |
76% |
91% |
83% |
83% |
| Avg Max Decline |
9.26% |
8.25% |
7.58% |
11.45% |
10.49% |
11.26% |
11.96% |
17.22% |
18.10% |
16.16% |
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 |
20 |
21 |
20 |
21 |
22 |
21 |
16 |
16 |
| Avg Max Increase |
-3.70% |
-3.51% |
-3.24% |
-2.56% |
-5.13% |
-5.22% |
-5.15% |
-3.89% |
-5.74% |
-4.98% |
-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 |
8 |
14 |
12 |
12 |
10 |
16 |
7 |
-28 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
|
|
|
|
|
|
|
| Action |
|
No |
|
No |
|
|
|
|
|
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|
| High |
93.250 |
93.250 |
93.300 |
95.000 |
93.600 |
102.800 |
108.600 |
|
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|
| Low |
93.250 |
89.500 |
90.000 |
91.750 |
92.400 |
91.850 |
102.500 |
|
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|
| Close/Last |
93.250 |
91.700 |
93.300 |
92.600 |
93.600 |
102.800 |
105.150 |
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