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| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Pork Bellies(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
29 |
40 |
41 |
42 |
42 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Higher |
14 |
18 |
26 |
19 |
25 |
16 |
27 |
20 |
16 |
19 |
22 |
| Exceeded High |
9 |
13 |
18 |
16 |
17 |
14 |
21 |
16 |
12 |
16 |
16 |
| Scenario Percentage |
64% |
72% |
69% |
84% |
68% |
88% |
78% |
80% |
75% |
84% |
73% |
| Avg Max Increase |
10.07% |
13.42% |
10.88% |
11.39% |
12.46% |
17.19% |
12.99% |
12.67% |
16.56% |
21.66% |
13.87% |
| Max Increase |
27.59% |
28.41% |
28.69% |
31.88% |
41.46% |
44.62% |
37.26% |
40.28% |
37.78% |
47.90% |
34.81% |
| Avg Days To Max Increase |
21 |
18 |
16 |
19 |
21 |
23 |
15 |
15 |
19 |
15 |
12 |
| Avg Max Decline |
-3.19% |
-1.86% |
-3.12% |
-2.85% |
-3.52% |
-2.55% |
-3.09% |
-3.43% |
-2.96% |
-4.22% |
-0.72% |
| Max Decline |
-6.95% |
-4.17% |
-7.10% |
-10.01% |
-10.22% |
-12.16% |
-10.89% |
-12.48% |
-7.90% |
-19.97% |
-11.47% |
| Avg Days to Max Decline |
9 |
7 |
8 |
11 |
12 |
7 |
7 |
7 |
5 |
7 |
3 |
| 2005 Contract Condition |
|
|
Yes |
|
Yes |
|
Yes |
|
|
|
Yes |
| Action |
|
|
No |
|
No |
|
No |
|
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
29 |
40 |
41 |
42 |
42 |
43 |
43 |
43 |
43 |
43 |
43 |
| Closed Lower |
15 |
21 |
14 |
22 |
16 |
27 |
16 |
22 |
27 |
24 |
21 |
| Penetrated Low |
12 |
18 |
10 |
15 |
10 |
19 |
11 |
19 |
25 |
18 |
15 |
| Scenario Percentage |
80% |
86% |
71% |
68% |
63% |
70% |
69% |
86% |
93% |
75% |
71% |
| Avg Max Decline |
7.55% |
7.97% |
11.10% |
8.52% |
11.69% |
11.32% |
18.09% |
17.88% |
17.72% |
17.02% |
14.05% |
| Max Decline |
17.72% |
26.02% |
21.17% |
15.20% |
27.41% |
29.48% |
30.80% |
37.59% |
39.70% |
30.79% |
41.40% |
| Avg Days To Max Decline |
13 |
17 |
17 |
22 |
19 |
21 |
24 |
22 |
19 |
16 |
16 |
| Avg Max Increase |
-3.81% |
-2.86% |
-2.74% |
-5.08% |
-4.72% |
-5.03% |
-4.85% |
-5.22% |
-4.98% |
-3.00% |
-4.32% |
| Max Increase |
-10.84% |
-11.81% |
-11.40% |
-10.89% |
-13.97% |
-13.70% |
-11.71% |
-18.63% |
-19.73% |
-14.75% |
-12.86% |
| Avg Days to Max Increase |
8 |
9 |
10 |
16 |
11 |
13 |
17 |
12 |
10 |
7 |
6 |
| 2005 Contract Condition |
|
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
| Action |
|
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Not Yet |
|
| High |
|
96.000 |
101.500 |
101.500 |
100.450 |
97.300 |
92.500 |
91.200 |
83.650 |
70.350 |
79.950 |
| Low |
|
94.850 |
94.900 |
97.500 |
97.225 |
89.500 |
86.100 |
80.250 |
67.800 |
56.600 |
57.400 |
| Close/Last |
|
94.900 |
101.500 |
97.500 |
98.000 |
90.300 |
90.800 |
82.050 |
68.225 |
56.800 |
77.200 |
|
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