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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Australian Dollar(CME) as of Dec 31, 2007 |
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 |
8 |
8 |
9 |
17 |
17 |
18 |
20 |
20 |
20 |
20 |
21 |
| Closed Higher |
6 |
2 |
5 |
6 |
9 |
10 |
12 |
13 |
11 |
9 |
13 |
| Exceeded High |
6 |
2 |
3 |
6 |
8 |
8 |
11 |
10 |
9 |
8 |
10 |
| Scenario Percentage |
100% |
100% |
60% |
100% |
89% |
80% |
92% |
77% |
82% |
89% |
77% |
| Avg Max Increase |
3.60% |
3.00% |
2.41% |
2.64% |
4.01% |
4.35% |
4.53% |
3.62% |
3.91% |
2.91% |
1.85% |
| 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 |
15 |
4 |
7 |
13 |
19 |
16 |
18 |
14 |
20 |
10 |
10 |
| Avg Max Decline |
-0.55% |
0.56% |
0.00% |
-0.83% |
-0.83% |
-0.74% |
-0.56% |
-0.98% |
-1.42% |
-0.43% |
-0.24% |
| Max Decline |
-3.75% |
0.42% |
-1.09% |
-1.43% |
-2.10% |
-2.21% |
-2.12% |
-4.07% |
-3.76% |
-1.04% |
-2.20% |
| Avg Days to Max Decline |
8 |
6 |
4 |
17 |
6 |
9 |
7 |
6 |
10 |
3 |
3 |
| 2008 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
| Action |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
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 |
8 |
8 |
9 |
17 |
17 |
18 |
20 |
20 |
20 |
20 |
21 |
| Closed Lower |
2 |
6 |
4 |
11 |
8 |
8 |
8 |
7 |
9 |
11 |
8 |
| Penetrated Low |
2 |
4 |
2 |
9 |
5 |
5 |
7 |
6 |
5 |
5 |
5 |
| Scenario Percentage |
100% |
67% |
50% |
82% |
63% |
63% |
88% |
86% |
56% |
45% |
63% |
| Avg Max Decline |
3.83% |
1.66% |
8.28% |
4.14% |
5.38% |
3.54% |
2.92% |
2.98% |
3.93% |
4.65% |
3.10% |
| Max Decline |
4.99% |
2.99% |
10.36% |
8.62% |
11.07% |
6.46% |
7.61% |
7.25% |
6.27% |
10.68% |
6.75% |
| Avg Days To Max Decline |
17 |
12 |
16 |
16 |
24 |
19 |
18 |
19 |
17 |
9 |
7 |
| Avg Max Increase |
-1.90% |
-1.69% |
-1.68% |
-1.27% |
-0.70% |
-0.97% |
-1.47% |
-1.86% |
-1.45% |
-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 |
9 |
12 |
9 |
12 |
5 |
15 |
17 |
9 |
2 |
1 |
| 2008 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
No |
|
|
No |
|
|
Yes |
Not Yet |
|
|
| High |
82.75 |
82.35 |
84.08 |
87.77 |
85.61 |
88.13 |
92.59 |
92.90 |
88.62 |
|
|
| Low |
80.22 |
81.07 |
82.53 |
84.52 |
77.93 |
81.62 |
87.45 |
86.29 |
85.12 |
|
|
| Close/Last |
82.12 |
82.05 |
84.08 |
84.90 |
80.97 |
88.13 |
92.59 |
87.69 |
87.26 |
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