MRCI's ScenarioSM Study

ScenarioSM Study for February Pork Bellies(CME) as of Dec 31, 1999
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Feb	Feb	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		20	29	32	34	34	34	34	34	34	34	34
Closed Higher		14	13	15	13	20	15	18	16	19	13	19
Exceeded High		9	10	10	11	18	12	16	13	14	11	10
Scenario Percentage		64%	77%	67%	85%	90%	80%	89%	81%	74%	85%	53%
Avg Max Increase		6.31%	9.91%	13.26%	17.86%	11.88%	10.88%	11.98%	12.88%	10.67%	11.02%	7.30%
Max Increase		9.95%	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		16	17	18	18	15	13	19	16	14	14	9
Avg Max Decline		-1.66%	-2.47%	-2.94%	-1.98%	-3.72%	-2.19%	-4.04%	-2.78%	-3.79%	-4.15%	-1.74%
Max Decline		-3.94%	-6.25%	-6.37%	-11.79%	-19.46%	-4.69%	-16.42%	-7.24%	-11.46%	-11.63%	-4.13%
Avg Days to Max Decline		8	8	9	9	9	7	11	8	7	10	2
2009 Contract Condition
Action

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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	Feb	Feb	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		20	29	32	34	34	34	34	34	34	34	34
Closed Lower		6	16	17	20	14	18	16	18	15	21	15
Penetrated Low		5	15	16	14	11	13	14	16	13	14	9
Scenario Percentage		83%	94%	94%	70%	79%	72%	88%	89%	87%	67%	60%
Avg Max Decline		14.78%	11.16%	11.63%	12.91%	8.12%	11.50%	8.85%	9.49%	12.25%	10.73%	6.49%
Max Decline		30.13%	25.00%	21.99%	20.59%	12.99%	20.93%	16.56%	18.81%	19.45%	17.36%	11.87%
Avg Days To Max Decline		17	19	16	16	17	16	15	17	20	17	14
Avg Max Increase		-2.46%	-3.31%	-3.74%	-3.10%	-3.52%	-2.53%	-4.61%	-5.45%	-3.49%	-4.96%	-2.86%
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		5	10	8	9	9	7	13	12	9	9	4
2009 Contract Condition
Action
High	94.000
Low	94.000
Close/Last	94.000