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MRCI's ScenarioSM Study
ScenarioSM Study for August Pork Bellies(CME) as of Apr 30, 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
2006 Contract Condition   Yes       Yes   Yes      
Action   No       Yes   Not Yet      
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Some data provided by Prophetfinance.com
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
2006 Contract Condition     Yes Yes Yes   Yes   Yes    
Action     Yes Yes Yes   Yes        
High 92.000 100.900 95.500 93.400 89.000 87.300 87.700 85.900 84.500    
Low 83.500 91.000 92.000 84.000 79.900 75.775 78.700 73.700 82.450    
Close/Last 91.600 93.500 92.550 84.000 79.900 87.000 78.800 85.200 82.525