|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Australian Dollar(CME) as of Apr 30, 2008 |
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 |
| Tested Years |
9 |
9 |
10 |
15 |
17 |
17 |
19 |
21 |
21 |
21 |
21 |
| Closed Higher |
2 |
4 |
5 |
10 |
11 |
9 |
8 |
13 |
11 |
14 |
8 |
| Exceeded High |
2 |
3 |
4 |
9 |
9 |
7 |
6 |
11 |
8 |
12 |
6 |
| Scenario Percentage |
100% |
75% |
80% |
90% |
82% |
78% |
75% |
85% |
73% |
86% |
75% |
| Avg Max Increase |
2.71% |
6.19% |
6.52% |
3.91% |
3.62% |
3.24% |
3.79% |
4.29% |
5.06% |
3.92% |
1.40% |
| Max Increase |
4.67% |
9.57% |
9.20% |
7.04% |
8.54% |
7.74% |
5.56% |
9.06% |
9.60% |
7.57% |
2.39% |
| Avg Days To Max Increase |
17 |
29 |
16 |
20 |
15 |
18 |
14 |
21 |
21 |
10 |
5 |
| Avg Max Decline |
-1.36% |
-1.83% |
-0.27% |
-0.52% |
-0.67% |
-1.26% |
-0.24% |
-0.88% |
-0.75% |
-0.46% |
0.06% |
| Max Decline |
-1.42% |
-2.11% |
-0.67% |
-1.54% |
-3.20% |
-3.50% |
-0.97% |
-3.24% |
-1.83% |
-1.71% |
-0.31% |
| Avg Days to Max Decline |
32 |
5 |
3 |
8 |
6 |
11 |
4 |
9 |
7 |
4 |
2 |
| 2008 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
|
| Action |
Yes |
|
Yes |
No |
|
|
Yes |
Yes |
|
Not Yet |
|
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 |
| Tested Years |
9 |
9 |
10 |
15 |
17 |
17 |
19 |
21 |
21 |
21 |
21 |
| Closed Lower |
7 |
5 |
5 |
5 |
6 |
7 |
11 |
8 |
10 |
7 |
13 |
| Penetrated Low |
6 |
2 |
3 |
5 |
4 |
4 |
5 |
6 |
7 |
7 |
10 |
| Scenario Percentage |
86% |
40% |
60% |
100% |
67% |
57% |
45% |
75% |
70% |
100% |
77% |
| Avg Max Decline |
4.83% |
6.34% |
4.21% |
3.01% |
3.37% |
2.78% |
5.15% |
4.57% |
4.70% |
4.65% |
7.78% |
| Max Decline |
8.73% |
9.94% |
6.48% |
7.62% |
7.24% |
4.74% |
11.76% |
9.22% |
10.25% |
10.03% |
24.34% |
| Avg Days To Max Decline |
16 |
15 |
18 |
22 |
20 |
17 |
16 |
18 |
16 |
13 |
8 |
| Avg Max Increase |
-1.79% |
-0.49% |
-0.94% |
-1.41% |
-2.27% |
-0.45% |
-0.72% |
-0.70% |
-0.83% |
-1.32% |
-0.30% |
| Max Increase |
-5.47% |
-1.05% |
-1.76% |
-1.68% |
-4.82% |
-1.16% |
-1.15% |
-1.13% |
-1.82% |
-2.29% |
-2.20% |
| Avg Days to Max Increase |
10 |
3 |
6 |
15 |
15 |
2 |
2 |
5 |
18 |
6 |
3 |
| 2008 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
No |
|
|
Yes |
Yes |
|
|
Not Yet |
|
|
| High |
87.47 |
85.27 |
87.61 |
91.95 |
91.90 |
87.33 |
88.87 |
93.66 |
93.50 |
94.82 |
|
| Low |
84.21 |
77.58 |
81.27 |
86.79 |
85.85 |
84.66 |
83.92 |
87.38 |
88.52 |
89.38 |
|
| Close/Last |
84.59 |
80.62 |
87.61 |
91.95 |
87.03 |
86.65 |
88.31 |
91.90 |
90.41 |
94.11 |
|
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