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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 39 42 43 43 43 44 44 44 44 44
Closed Higher   14 16 20 23 20 26 21 24 18 27 19
Exceeded High   11 10 17 21 17 22 16 17 17 13 16
Scenario Percentage   79% 63% 85% 91% 85% 85% 76% 71% 94% 48% 84%
Avg Max Increase   9.04% 9.99% 14.03% 11.25% 10.84% 11.17% 12.19% 10.69% 12.15% 14.19% 11.09%
Max Increase   23.65% 40.66% 38.83% 23.22% 25.28% 34.86% 34.81% 33.59% 27.71% 37.07% 42.07%
Avg Days To Max Increase   15 15 19 16 14 18 19 14 15 15 15
Avg Max Decline   -3.01% -1.93% -2.84% -4.61% -2.08% -3.95% -2.58% -3.65% -2.95% -3.16% -1.27%
Max Decline   -10.89% -5.57% -9.09% -19.52% -11.62% -17.03% -6.81% -7.85% -10.59% -8.04% -4.63%
Avg Days to Max Decline   10 4 12 12 7 11 9 5 11 8 3
2007 Contract Condition       Yes Yes   Yes Yes   Yes Yes  
Action       Yes No   Yes No   Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   32 39 42 43 43 43 44 44 44 44 44
Closed Lower   18 23 22 20 23 16 23 19 26 17 25
Penetrated Low   15 19 15 12 15 13 17 14 20 10 12
Scenario Percentage   83% 83% 68% 60% 65% 81% 74% 74% 77% 59% 48%
Avg Max Decline   10.17% 11.39% 12.49% 8.44% 10.82% 8.75% 8.97% 11.91% 10.99% 9.72% 7.02%
Max Decline   25.73% 23.52% 19.70% 16.63% 21.51% 16.82% 18.99% 20.49% 20.80% 26.99% 19.66%
Avg Days To Max Decline   18 16 16 16 19 14 17 21 21 16 11
Avg Max Increase   -3.02% -3.17% -3.31% -2.95% -3.62% -4.22% -4.58% -3.28% -5.73% -5.65% -2.23%
Max Increase   -9.70% -12.17% -12.81% -8.53% -12.42% -10.72% -13.20% -12.33% -12.33% -13.87% -7.73%
Avg Days to Max Increase   12 9 9 8 9 8 10 10 14 9 4
2007 Contract Condition   Yes Yes     Yes     Yes     Yes
Action   No No     Yes     No     Not Yet
High 87.100 86.550 85.800 88.500 94.250 93.530 92.500 93.900 93.800 93.500 102.100 107.550
Low 85.800 83.200 83.250 83.300 86.250 87.500 85.950 87.000 88.300 89.900 88.850 100.100
Close/Last 86.500 84.650 83.250 88.500 92.250 91.250 91.385 93.650 91.300 92.400 102.100 102.030

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