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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   12 12 13 18 20 20 22 24 24 24 24
Closed Higher   4 5 7 12 12 10 9 16 13 17 10
Exceeded High   4 4 6 10 10 7 7 14 10 14 8
Scenario Percentage   100% 80% 86% 83% 83% 70% 78% 88% 77% 82% 80%
Avg Max Increase   3.71% 7.30% 6.24% 4.01% 3.56% 3.25% 4.12% 4.92% 5.89% 4.57% 1.72%
Max Increase   5.85% 10.62% 9.22% 7.04% 8.54% 7.74% 6.06% 15.17% 15.68% 13.56% 3.48%
Avg Days To Max Increase   23 27 18 20 16 18 16 21 21 9 4
Avg Max Decline   -3.17% -1.82% -0.82% -0.51% -1.10% -1.33% -0.37% -1.32% -0.84% -0.66% -0.30%
Max Decline   -8.29% -2.11% -1.95% -1.58% -4.15% -3.73% -1.05% -5.42% -1.83% -1.99% -1.19%
Avg Days to Max Decline   24 4 6 5 7 12 4 8 6 4 2
2010 Contract Condition   Yes Yes Yes Yes Yes     Yes Yes Yes  
Action   Yes Yes Yes Yes Yes     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   12 12 13 18 20 20 22 24 24 24 24
Closed Lower   8 7 6 6 8 9 13 8 11 7 14
Penetrated Low   7 3 4 5 5 6 8 6 7 7 8
Scenario Percentage   88% 43% 67% 83% 63% 67% 62% 75% 64% 100% 57%
Avg Max Decline   6.38% 13.50% 8.82% 3.01% 3.41% 3.07% 3.89% 4.61% 4.78% 4.73% 2.23%
Max Decline   15.68% 27.82% 22.66% 7.62% 7.24% 4.74% 11.76% 9.22% 10.75% 10.03% 6.17%
Avg Days To Max Decline   16 19 20 22 20 16 11 18 16 13 7
Avg Max Increase   -1.59% -0.34% -1.03% -1.41% -2.24% -1.37% -0.88% -0.71% -0.87% -1.32% 0.15%
Max Increase   -5.47% -1.05% -1.76% -1.68% -4.82% -3.84% -2.51% -1.13% -1.82% -2.29% -0.51%
Avg Days to Max Increase   9 9 5 15 21 6 5 5 18 6 2
2010 Contract Condition             Yes Yes       Yes
Action             Yes Yes       Not Yet
High 80.18 81.35 82.00 86.11 90.71 91.59 91.25 91.65 89.65 91.64 93.08 92.31
Low 76.84 75.50 80.03 80.53 84.43 87.83 85.79 87.05 84.73 88.36 90.78 80.49
Close/Last 78.70 81.35 82.00 86.11 87.83 89.50 88.26 87.25 88.70 90.97 92.05 84.45

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