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MRCI's ScenarioSM Study
ScenarioSM Study for March Australian Dollar(CME) as of Apr 17, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 4 4 5 13 13 14 16 16 16 16 17
Closed Higher 3 1 3 4 7 7 9 10 9 7 10
Exceeded High 3 1 2 4 6 6 8 8 7 7 8
Scenario Percentage 100% 100% 67% 100% 86% 86% 89% 80% 78% 100% 80%
Avg Max Increase 3.75% 1.43% 2.90% 2.62% 2.49% 3.05% 4.27% 3.30% 3.78% 2.64% 2.04%
Max Increase 6.83% 1.43% 5.30% 5.49% 4.54% 8.86% 8.20% 8.26% 9.59% 5.55% 2.79%
Avg Days To Max Increase 10 6 9 12 15 14 16 14 20 10 9
Avg Max Decline -0.08% 0.70% -0.36% -0.56% -0.46% -0.77% -0.38% -1.11% -1.34% -0.34% 0.16%
Max Decline -0.40% 0.70% -1.09% -1.19% -1.55% -2.21% -2.12% -4.07% -3.76% -0.98% -0.67%
Avg Days to Max Decline 4 3 6 9 6 11 8 5 10 3 2
2003 Contract Condition Yes Yes     Yes   Yes Yes Yes Yes Yes
Action Yes Yes     Yes   Yes Yes Yes Yes Yes
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 4 4 5 13 13 14 16 16 16 16 17
Closed Lower 1 3 2 9 6 7 7 6 7 9 7
Penetrated Low 1 2 2 8 4 4 6 5 4 5 4
Scenario Percentage 100% 67% 100% 89% 67% 57% 86% 83% 57% 56% 57%
Avg Max Decline 2.68% 0.84% 8.28% 4.48% 6.05% 4.33% 2.89% 3.15% 4.35% 4.65% 2.45%
Max Decline 2.68% 1.29% 10.36% 8.62% 11.07% 6.46% 7.61% 7.25% 6.27% 10.68% 6.75%
Avg Days To Max Decline 17 7 16 18 29 23 16 18 13 9 5
Avg Max Increase -2.19% -1.65% -1.68% -1.15% -0.62% -1.11% -1.45% -1.72% -1.50% -0.85% -0.07%
Max Increase -2.19% -4.56% -2.41% -5.49% -2.39% -1.84% -1.99% -4.96% -5.09% -1.29% -0.70%
Avg Days to Max Increase 5 7 12 8 13 6 10 18 10 2 1
2003 Contract Condition     Yes Yes   Yes          
Action     Yes Yes   No          
High 53.12 55.33 56.12 55.63 54.49 54.45 55.25 55.97 56.45 59.10 60.80
Low 51.47 52.32 54.40 52.38 51.69 53.30 53.50 55.00 55.15 55.78 58.03
Close/Last 52.53 55.33 55.10 53.09 54.14 53.49 54.91 55.47 55.48 58.53 60.77