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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 Dec 31, 2010
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   34 43 45 45 45 45 45 45 45 45 45
Closed Higher   14 25 22 28 16 27 19 27 21 14 17
Exceeded High   10 19 15 18 15 19 18 20 16 11 12
Scenario Percentage   71% 76% 68% 64% 94% 70% 95% 74% 76% 79% 71%
Avg Max Increase   11.79% 10.09% 11.14% 9.12% 11.13% 12.64% 13.90% 12.82% 10.46% 10.69% 15.22%
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 18 15 14 18 20 19 14 15 13 21
Avg Max Decline   -1.89% -3.16% -1.87% -3.18% -3.32% -3.56% -2.57% -2.85% -3.84% -3.61% -2.56%
Max Decline   -7.52% -8.78% -4.61% -7.06% -10.69% -10.55% -12.88% -8.44% -14.57% -7.92% -11.63%
Avg Days to Max Decline   8 10 6 7 11 8 6 5 11 5 5
2010 Contract Condition     Yes Yes   Yes   Yes Yes   Yes  
Action     Yes No   Yes   Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   34 43 45 45 45 45 45 45 45 45 45
Closed Lower   20 18 23 17 29 18 26 18 24 31 28
Penetrated Low   14 14 17 14 20 12 17 15 21 26 18
Scenario Percentage   70% 78% 74% 82% 69% 67% 65% 83% 88% 84% 64%
Avg Max Decline   9.16% 8.33% 7.51% 10.25% 10.24% 10.40% 13.30% 15.27% 18.56% 16.57% 12.49%
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 15 16 18 20 19 19 21 21 15 14
Avg Max Increase   -3.70% -3.25% -3.32% -2.31% -4.65% -4.36% -4.64% -3.71% -5.92% -4.65% -2.22%
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   9 9 11 10 13 10 12 10 15 7 4
2010 Contract Condition   Yes     Yes   Yes     Yes   Yes
Action   No     Yes   Yes     No   Not Yet
High 85.900 85.000 89.800 91.000 90.500 91.000 94.500 92.350 100.000 101.400 103.500 103.200
Low 85.000 80.900 82.250 81.700 86.500 83.500 85.500 85.450 92.500 94.000 98.100 94.750
Close/Last 85.000 81.000 86.500 90.500 88.000 91.000 87.000 92.250 100.000 98.600 102.900 99.500

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