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