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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Feb Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   32 41 43 43 43 43 43 43 43 43 43
Closed Higher   14 24 22 26 16 27 18 25 21 13 18
Exceeded High   10 18 16 18 15 18 17 18 16 11 13
Scenario Percentage   71% 75% 73% 69% 94% 67% 94% 72% 76% 85% 72%
Avg Max Increase   11.79% 10.61% 10.99% 9.12% 11.57% 13.01% 14.13% 13.60% 11.86% 10.41% 13.87%
Max Increase   27.71% 27.69% 30.54% 29.32% 31.18% 39.32% 40.78% 35.18% 41.09% 36.57% 35.03%
Avg Days To Max Increase   18 19 16 14 18 20 19 14 16 11 20
Avg Max Decline   -1.89% -2.95% -2.04% -3.18% -3.31% -3.71% -2.73% -2.80% -3.68% -2.97% -2.44%
Max Decline   -7.52% -8.78% -4.61% -7.06% -10.69% -10.55% -12.88% -8.44% -14.57% -7.74% -11.63%
Avg Days to Max Decline   8 10 7 7 11 9 6 4 11 5 5
2007 Contract Condition       Yes   Yes Yes Yes   Yes    
Action       Yes   Yes Yes Yes   No    
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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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   32 41 43 43 43 43 43 43 43 43 43
Closed Lower   18 17 21 17 27 16 25 18 22 30 25
Penetrated Low   13 13 16 13 18 10 17 14 20 25 16
Scenario Percentage   72% 76% 76% 76% 67% 63% 68% 78% 91% 83% 64%
Avg Max Decline   9.26% 8.25% 7.58% 10.64% 10.49% 11.26% 11.96% 16.18% 18.10% 16.13% 12.88%
Max Decline   16.58% 15.90% 15.72% 20.83% 19.86% 26.96% 30.21% 29.94% 38.04% 39.77% 25.09%
Avg Days To Max Decline   17 14 16 19 21 20 21 23 21 15 15
Avg Max Increase   -3.70% -3.51% -3.24% -2.49% -5.13% -5.22% -5.15% -3.94% -5.74% -4.77% -2.17%
Max Increase   -10.00% -10.13% -11.67% -9.95% -9.99% -12.72% -12.33% -13.11% -18.42% -21.07% -10.16%
Avg Days to Max Increase   7 9 10 10 14 12 12 11 16 7 4
2007 Contract Condition     Yes   Yes       Yes   Yes Yes
Action     No   Yes       Yes   Yes Yes
High   93.250 93.250 93.300 95.000 93.600 102.800 108.650 110.000 106.500 105.425 100.400
Low   93.250 89.500 90.000 91.750 92.400 91.700 102.500 101.250 100.500 99.100 91.600
Close/Last   93.250 91.700 93.300 92.600 93.600 102.800 105.150 101.885 103.480 100.650 92.400

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