|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for August Pork Bellies(CME) as of Jun 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
29 |
41 |
42 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Higher |
14 |
19 |
26 |
19 |
25 |
17 |
27 |
21 |
16 |
20 |
22 |
| Exceeded High |
9 |
13 |
18 |
16 |
17 |
15 |
21 |
17 |
12 |
17 |
16 |
| Scenario Percentage |
64% |
68% |
69% |
84% |
68% |
88% |
78% |
81% |
75% |
85% |
73% |
| Avg Max Increase |
10.07% |
13.42% |
10.88% |
11.39% |
12.46% |
16.10% |
12.99% |
12.70% |
16.56% |
20.87% |
14.15% |
| 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 |
22 |
15 |
15 |
19 |
16 |
12 |
| Avg Max Decline |
-3.19% |
-1.86% |
-3.12% |
-2.85% |
-3.52% |
-2.65% |
-3.09% |
-3.79% |
-2.96% |
-4.42% |
-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 |
8 |
7 |
8 |
5 |
7 |
3 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
|
|
| Action |
|
Yes |
Yes |
|
Yes |
Yes |
|
No |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
| Tested Years |
29 |
41 |
42 |
43 |
43 |
44 |
44 |
44 |
44 |
44 |
44 |
| Closed Lower |
15 |
21 |
15 |
23 |
17 |
27 |
17 |
22 |
28 |
24 |
22 |
| Penetrated Low |
12 |
18 |
11 |
16 |
11 |
19 |
12 |
19 |
25 |
18 |
16 |
| Scenario Percentage |
80% |
86% |
73% |
70% |
65% |
70% |
71% |
86% |
89% |
75% |
73% |
| Avg Max Decline |
7.55% |
7.97% |
11.33% |
8.59% |
11.09% |
11.32% |
17.12% |
17.88% |
17.72% |
17.15% |
14.17% |
| 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 |
19 |
20 |
17 |
21 |
24 |
22 |
19 |
17 |
16 |
| Avg Max Increase |
-3.81% |
-2.86% |
-2.58% |
-5.14% |
-4.29% |
-5.03% |
-4.52% |
-5.22% |
-4.98% |
-3.00% |
-4.03% |
| 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 |
9 |
15 |
10 |
13 |
17 |
12 |
10 |
7 |
6 |
| 2007 Contract Condition |
|
|
|
|
|
|
Yes |
|
Yes |
Yes |
|
| Action |
|
|
|
|
|
|
Yes |
|
Yes |
Not Yet |
|
| High |
90.700 |
91.400 |
93.300 |
93.325 |
102.500 |
105.500 |
106.750 |
103.750 |
103.400 |
100.350 |
|
| Low |
89.500 |
90.700 |
92.000 |
93.250 |
91.700 |
101.400 |
100.000 |
99.000 |
98.250 |
90.900 |
|
| Close/Last |
90.700 |
91.400 |
93.250 |
93.250 |
101.700 |
103.000 |
100.000 |
101.000 |
99.450 |
92.150 |
|
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