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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Australian Dollar(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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   11 11 12 20 20 21 23 23 23 23 24
Closed Higher   9 4 8 8 10 12 14 14 12 10 16
Exceeded High   9 4 6 8 9 10 13 10 9 9 10
Scenario Percentage   100% 100% 75% 100% 90% 83% 93% 71% 75% 90% 63%
Avg Max Increase   4.39% 3.52% 3.20% 3.24% 4.81% 4.80% 4.28% 3.66% 3.94% 3.30% 2.00%
Max Increase   12.44% 4.62% 5.30% 6.28% 10.90% 9.77% 8.20% 8.64% 9.59% 6.19% 2.79%
Avg Days To Max Increase   18 13 15 17 19 15 17 15 20 12 9
Avg Max Decline   -0.77% -1.09% -0.77% -1.84% -0.94% -1.04% -0.83% -1.05% -1.46% -0.50% -0.18%
Max Decline   -3.75% -3.04% -4.08% -8.21% -2.10% -2.89% -2.40% -4.07% -4.04% -1.04% -1.91%
Avg Days to Max Decline   6 13 5 16 5 9 4 7 10 4 2
2010 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes     Yes
Action   Yes Yes Yes Yes Yes Yes Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   11 11 12 20 20 21 23 23 23 23 24
Closed Lower   2 7 4 12 10 9 9 9 11 13 8
Penetrated Low   2 4 2 10 7 6 7 7 7 8 5
Scenario Percentage   100% 57% 50% 83% 70% 67% 78% 78% 64% 62% 63%
Avg Max Decline   3.83% 1.66% 8.28% 5.30% 8.07% 6.91% 2.92% 3.04% 3.82% 3.61% 2.30%
Max Decline   4.99% 2.99% 10.36% 15.75% 28.73% 23.67% 7.61% 7.25% 6.27% 10.68% 6.75%
Avg Days To Max Decline   17 12 16 16 24 20 18 19 16 7 6
Avg Max Increase   -1.90% -1.69% -1.68% -1.18% -0.89% -1.02% -1.47% -1.93% -2.01% -0.99% -0.25%
Max Increase   -2.19% -4.56% -2.41% -5.49% -2.73% -1.84% -1.99% -4.96% -5.09% -2.54% -0.96%
Avg Days to Max Increase   5 9 12 9 10 5 15 21 10 5 1
2010 Contract Condition                   Yes Yes  
Action                   Yes Yes  
High 69.13 71.73 78.39 80.65 82.01 82.87 87.16 91.87 92.91 92.27 92.75 90.53
Low 62.03 68.32 71.73 77.25 76.01 80.78 81.31 84.46 87.99 86.65 87.93 85.47
Close/Last 68.32 71.73 78.39 79.24 82.01 82.84 86.97 88.80 90.45 89.17 88.15 89.57

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