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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 Dec 31, 2010
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   27 38 43 45 45 45 45 45 45 45 45
Closed Higher   19 16 20 17 24 19 27 20 27 19 23
Exceeded High   11 13 13 15 22 15 22 16 19 16 14
Scenario Percentage   58% 81% 65% 88% 92% 79% 81% 80% 70% 84% 61%
Avg Max Increase   6.94% 9.20% 12.12% 14.95% 11.67% 10.72% 12.04% 11.53% 10.18% 10.89% 6.98%
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   16 17 16 18 16 13 19 17 13 13 10
Avg Max Decline   -1.26% -2.03% -2.81% -1.90% -4.11% -2.50% -4.24% -3.36% -4.00% -4.03% -1.81%
Max Decline   -3.94% -6.25% -6.37% -11.79% -19.46% -10.64% -16.42% -9.85% -11.46% -11.63% -4.13%
Avg Days to Max Decline   7 7 8 11 10 7 10 9 6 10 2
2010 Contract Condition   Yes   Yes       Yes Yes   Yes  
Action   Yes   Yes       Yes Yes   Not Yet  
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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   27 38 43 45 45 45 45 45 45 45 45
Closed Lower   8 22 23 27 21 25 18 25 18 26 22
Penetrated Low   6 20 21 20 16 17 16 18 16 19 13
Scenario Percentage   75% 91% 91% 74% 76% 68% 89% 72% 89% 73% 59%
Avg Max Decline   14.87% 10.20% 11.77% 12.40% 8.31% 10.52% 9.29% 9.24% 11.60% 10.14% 6.24%
Max Decline   30.13% 25.00% 25.24% 20.59% 16.57% 20.93% 16.56% 18.81% 19.45% 17.36% 11.87%
Avg Days To Max Decline   19 18 16 17 16 17 16 18 19 16 13
Avg Max Increase   -1.99% -3.58% -3.03% -3.11% -3.92% -2.57% -4.32% -5.71% -3.11% -4.62% -2.05%
Max Increase   -5.05% -9.30% -11.77% -12.98% -14.18% -7.75% -11.48% -13.70% -12.84% -10.17% -6.37%
Avg Days to Max Increase   4 12 8 11 8 8 12 13 9 8 3
2010 Contract Condition     Yes   Yes Yes Yes     Yes   Yes
Action     Yes   Yes Yes No     Yes   Yes
High 80.500 92.000 93.400 91.250 95.000 88.000 83.900 89.480 91.700 89.730 92.000 91.550
Low 76.000 83.500 88.250 88.250 84.350 80.000 74.450 76.250 76.400 83.200 80.500 81.200
Close/Last 80.500 90.100 88.250 89.000 86.350 81.250 76.250 81.700 89.300 86.050 88.000 81.500

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