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