MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		28	35	35	35	35	35	35	35	35	35	35
Closed Higher		12	20	18	20	13	22	11	20	17	11	14
Exceeded High		8	15	14	14	12	14	10	14	14	9	11
Scenario Percentage		67%	75%	78%	70%	92%	64%	91%	70%	82%	82%	79%
Avg Max Increase		13.03%	11.09%	11.55%	9.45%	11.59%	11.10%	18.35%	15.74%	11.88%	13.06%	14.36%
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		20	19	15	12	17	19	23	14	15	10	20
Avg Max Decline		-2.34%	-2.93%	-2.17%	-2.62%	-2.98%	-4.28%	-3.25%	-2.32%	-3.44%	-2.21%	-2.47%
Max Decline		-7.52%	-8.78%	-4.61%	-6.85%	-10.69%	-10.55%	-12.88%	-5.90%	-14.57%	-7.29%	-11.63%
Avg Days to Max Decline		9	11	6	6	12	10	6	3	8	3	4
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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		28	35	35	35	35	35	35	35	35	35	35
Closed Lower		16	15	17	15	22	13	24	15	18	24	21
Penetrated Low		12	12	15	11	14	9	16	11	17	21	15
Scenario Percentage		75%	80%	88%	73%	64%	69%	67%	73%	94%	88%	71%
Avg Max Decline		9.41%	7.94%	7.90%	11.13%	11.17%	12.10%	12.01%	16.98%	17.25%	16.77%	13.21%
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		16	14	17	19	23	22	21	22	21	15	15
Avg Max Increase		-3.63%	-3.72%	-3.53%	-2.72%	-5.85%	-5.61%	-4.98%	-4.44%	-6.45%	-5.27%	-2.37%
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	10	10	9	17	14	11	11	17	8	4
2009 Contract Condition
Action
High	96.000
Low	96.000
Close/Last	96.000