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

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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