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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   26 31 34 35 35 35 36 36 36 36 36
Closed Higher   13 14 14 20 15 19 18 19 14 23 13
Exceeded High   10 8 12 19 12 17 15 13 13 10 10
Scenario Percentage   77% 57% 86% 95% 80% 89% 83% 68% 93% 43% 77%
Avg Max Increase   8.82% 11.65% 17.86% 10.69% 10.10% 10.95% 12.20% 10.71% 11.47% 13.31% 12.69%
Max Increase   23.65% 40.66% 38.83% 23.22% 25.28% 34.86% 34.81% 33.59% 27.71% 34.67% 42.07%
Avg Days To Max Increase   16 17 18 15 14 18 18 14 17 15 17
Avg Max Decline   -3.31% -2.20% -2.26% -4.61% -1.94% -4.00% -2.66% -3.17% -3.23% -3.00% -1.39%
Max Decline   -10.89% -5.57% -9.09% -19.52% -4.65% -17.03% -6.81% -7.63% -10.59% -8.04% -4.63%
Avg Days to Max Decline   11 4 10 11 9 11 10 5 13 9 3
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   26 31 34 35 35 35 36 36 36 36 36
Closed Lower   13 17 20 15 20 15 18 16 22 13 23
Penetrated Low   12 15 14 10 13 12 15 12 16 9 12
Scenario Percentage   92% 88% 70% 67% 65% 80% 83% 75% 73% 69% 52%
Avg Max Decline   10.25% 11.64% 12.41% 8.29% 11.45% 8.44% 9.55% 12.23% 11.44% 10.44% 7.02%
Max Decline   25.73% 22.31% 19.70% 13.28% 21.51% 16.82% 18.99% 20.49% 20.80% 26.99% 19.66%
Avg Days To Max Decline   19 17 16 17 18 13 17 20 22 17 11
Avg Max Increase   -3.33% -3.72% -3.34% -3.76% -3.57% -4.24% -4.62% -3.47% -6.22% -6.08% -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 9 7 9 11 9 16 9 4
2009 Contract Condition                        
Action                        
High 97.000                      
Low 97.000                      
Close/Last 97.000                      

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