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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Australian Dollar(CME) as of Oct 31, 2006 |
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 |
7 |
7 |
8 |
16 |
16 |
17 |
19 |
19 |
19 |
19 |
20 |
| Closed Higher |
5 |
2 |
5 |
5 |
9 |
10 |
11 |
12 |
11 |
9 |
12 |
| Exceeded High |
5 |
2 |
3 |
5 |
8 |
8 |
10 |
9 |
9 |
8 |
9 |
| Scenario Percentage |
100% |
100% |
60% |
100% |
89% |
80% |
91% |
75% |
82% |
89% |
75% |
| Avg Max Increase |
3.87% |
3.00% |
2.41% |
3.02% |
4.01% |
4.35% |
4.74% |
3.89% |
3.91% |
2.91% |
1.93% |
| Max Increase |
7.72% |
4.57% |
5.30% |
5.49% |
10.01% |
9.25% |
8.20% |
8.64% |
9.59% |
5.55% |
2.79% |
| Avg Days To Max Increase |
16 |
4 |
7 |
15 |
19 |
16 |
19 |
16 |
20 |
10 |
9 |
| Avg Max Decline |
-0.70% |
0.56% |
0.00% |
-0.74% |
-0.83% |
-0.74% |
-0.46% |
-0.95% |
-1.42% |
-0.43% |
-0.02% |
| Max Decline |
-3.75% |
0.42% |
-1.09% |
-1.43% |
-2.10% |
-2.21% |
-2.12% |
-4.07% |
-3.76% |
-1.04% |
-1.48% |
| Avg Days to Max Decline |
9 |
6 |
4 |
15 |
6 |
9 |
7 |
5 |
10 |
3 |
2 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
|
|
Yes |
|
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| Action |
Yes |
|
|
Yes |
|
|
Not Yet |
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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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
7 |
7 |
8 |
16 |
16 |
17 |
19 |
19 |
19 |
19 |
20 |
| Closed Lower |
2 |
5 |
3 |
11 |
7 |
7 |
8 |
7 |
8 |
10 |
8 |
| Penetrated Low |
2 |
3 |
2 |
9 |
4 |
4 |
7 |
6 |
4 |
5 |
5 |
| Scenario Percentage |
100% |
60% |
67% |
82% |
57% |
57% |
88% |
86% |
50% |
50% |
63% |
| Avg Max Decline |
3.83% |
1.22% |
8.28% |
4.14% |
6.05% |
4.33% |
2.92% |
2.98% |
4.35% |
4.65% |
3.10% |
| Max Decline |
4.99% |
1.96% |
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 |
16 |
29 |
23 |
18 |
19 |
13 |
9 |
7 |
| Avg Max Increase |
-1.90% |
-2.26% |
-1.68% |
-1.27% |
-0.62% |
-1.11% |
-1.47% |
-1.86% |
-1.50% |
-0.85% |
-0.21% |
| Max Increase |
-2.19% |
-4.56% |
-2.41% |
-5.49% |
-2.39% |
-1.84% |
-1.99% |
-4.96% |
-5.09% |
-1.29% |
-0.77% |
| Avg Days to Max Increase |
5 |
11 |
12 |
9 |
13 |
6 |
15 |
17 |
10 |
2 |
1 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
|
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| Action |
|
Yes |
No |
|
Yes |
Yes |
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| High |
75.60 |
77.31 |
74.81 |
76.39 |
76.56 |
76.85 |
77.19 |
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| Low |
71.23 |
74.82 |
72.58 |
73.86 |
75.31 |
74.28 |
73.99 |
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| Close/Last |
75.60 |
74.82 |
74.04 |
76.29 |
76.06 |
74.28 |
77.19 |
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