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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Pork Bellies(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   31 43 43 44 44 45 45 45 45 45 45
Closed Higher   16 21 27 19 26 18 27 22 16 20 22
Exceeded High   10 15 19 16 18 15 21 17 12 17 16
Scenario Percentage   63% 71% 70% 84% 69% 83% 78% 77% 75% 85% 73%
Avg Max Increase   9.83% 12.24% 10.83% 11.39% 12.04% 16.29% 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   20 17 17 19 21 22 15 15 19 16 12
Avg Max Decline   -2.98% -1.57% -3.04% -2.85% -3.34% -2.45% -3.09% -3.82% -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   8 6 9 11 11 7 7 8 5 7 3
2007 Contract Condition     Yes Yes   Yes Yes   Yes      
Action     Yes Yes   Yes Yes   No      
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   31 43 43 44 44 45 45 45 45 45 45
Closed Lower   15 21 15 23 17 27 18 22 29 25 23
Penetrated Low   12 18 11 16 11 19 13 19 26 19 16
Scenario Percentage   80% 86% 73% 70% 65% 70% 72% 86% 90% 76% 70%
Avg Max Decline   7.55% 7.97% 11.33% 8.59% 11.09% 11.32% 15.94% 17.88% 17.58% 17.57% 12.49%
Max Decline   17.72% 26.02% 21.17% 15.20% 27.41% 29.48% 30.80% 37.59% 39.70% 30.79% 30.44%
Avg Days To Max Decline   13 17 19 20 17 21 24 22 19 17 15
Avg Max Increase   -3.81% -2.86% -2.58% -5.17% -4.29% -5.03% -4.48% -5.22% -4.83% -2.85% -3.34%
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 16 10 13 17 12 10 8 4
2007 Contract Condition               Yes   Yes Yes Yes
Action               Yes   Yes Yes Yes
High   91.050 91.400 93.300 93.335 102.500 105.800 106.750 103.750 103.400 100.350 92.250
Low   89.500 90.100 92.000 93.250 91.700 101.400 100.000 99.000 98.250 90.900 85.500
Close/Last   90.700 91.400 93.250 93.250 101.700 103.000 100.000 101.000 99.450 92.150 90.500

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