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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Pork Bellies(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   25 36 41 43 43 43 43 43 43 43 43
Closed Higher   18 15 18 17 24 18 25 19 26 18 23
Exceeded High   10 12 12 15 22 15 21 15 19 16 14
Scenario Percentage   56% 80% 67% 88% 92% 83% 84% 79% 73% 89% 61%
Avg Max Increase   7.27% 9.33% 12.57% 14.95% 11.67% 10.72% 12.03% 12.10% 10.18% 11.42% 7.49%
Max Increase   15.87% 23.64% 41.19% 37.55% 23.57% 26.36% 36.65% 36.59% 37.19% 24.54% 16.22%
Avg Days To Max Increase   15 17 16 18 16 13 19 17 13 15 12
Avg Max Decline   -1.49% -2.06% -2.99% -1.90% -4.11% -2.50% -4.13% -2.93% -4.00% -4.03% -2.11%
Max Decline   -3.94% -6.25% -6.37% -11.79% -19.46% -10.64% -16.42% -7.24% -11.46% -11.63% -4.13%
Avg Days to Max Decline   8 8 8 11 10 7 10 7 6 10 4
2008 Contract Condition     Yes             Yes   Yes
Action     Yes             No   Yes
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   25 36 41 43 43 43 43 43 43 43 43
Closed Lower   7 21 23 25 19 24 18 24 17 25 20
Penetrated Low   6 19 21 18 14 17 16 17 15 18 11
Scenario Percentage   86% 90% 91% 72% 74% 71% 89% 71% 88% 72% 55%
Avg Max Decline   14.87% 10.50% 11.77% 12.46% 8.23% 10.52% 9.29% 9.41% 11.94% 10.30% 6.53%
Max Decline   30.13% 25.00% 25.24% 20.59% 16.57% 20.93% 16.56% 18.81% 19.45% 20.04% 11.87%
Avg Days To Max Decline   19 18 16 16 16 17 16 18 20 17 14
Avg Max Increase   -1.99% -3.37% -3.03% -2.90% -3.23% -2.57% -4.32% -5.43% -3.28% -4.68% -2.42%
Max Increase   -5.05% -9.30% -11.77% -12.98% -8.71% -7.75% -11.48% -13.70% -12.84% -10.17% -6.37%
Avg Days to Max Increase   4 11 8 8 8 8 12 12 10 8 3
2008 Contract Condition       Yes Yes Yes Yes Yes Yes   Yes  
Action       Yes Yes Yes Yes Yes No   Yes  
High   100.885 102.500 103.000 101.000 93.200 96.350 91.750 90.135 94.500 93.000 94.350
Low   99.000 100.825 101.100 93.000 87.500 86.250 84.850 79.050 81.475 84.100 82.600
Close/Last   100.850 102.385 101.480 93.000 90.600 90.400 89.680 84.050 91.335 85.980 93.850

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