|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Australian Dollar(CME) as of Jun 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
9 |
9 |
14 |
15 |
17 |
20 |
20 |
20 |
20 |
20 |
| Closed Higher |
5 |
6 |
4 |
7 |
9 |
8 |
13 |
8 |
9 |
9 |
12 |
| Exceeded High |
5 |
4 |
4 |
5 |
8 |
6 |
12 |
8 |
7 |
8 |
7 |
| Scenario Percentage |
100% |
67% |
100% |
71% |
89% |
75% |
92% |
100% |
78% |
89% |
58% |
| Avg Max Increase |
4.49% |
5.77% |
3.17% |
4.23% |
4.15% |
5.57% |
4.29% |
2.66% |
3.05% |
2.61% |
1.93% |
| Max Increase |
6.70% |
8.30% |
6.67% |
5.30% |
9.71% |
9.56% |
9.28% |
6.14% |
6.46% |
5.75% |
2.67% |
| Avg Days To Max Increase |
23 |
16 |
14 |
16 |
19 |
21 |
17 |
11 |
14 |
13 |
11 |
| Avg Max Decline |
-0.06% |
-0.36% |
-0.67% |
-0.10% |
-0.71% |
-0.85% |
-0.58% |
-0.59% |
-0.75% |
-0.90% |
-0.61% |
| Max Decline |
-1.21% |
-3.21% |
-3.03% |
-0.83% |
-3.23% |
-1.82% |
-4.12% |
-1.97% |
-2.00% |
-1.61% |
-2.01% |
| Avg Days to Max Decline |
7 |
6 |
12 |
4 |
12 |
4 |
4 |
6 |
7 |
11 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
|
|
Yes |
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
9 |
9 |
9 |
14 |
15 |
17 |
20 |
20 |
20 |
20 |
20 |
| Closed Lower |
4 |
3 |
5 |
7 |
6 |
9 |
7 |
12 |
11 |
11 |
8 |
| Penetrated Low |
4 |
3 |
1 |
4 |
5 |
6 |
7 |
10 |
5 |
8 |
5 |
| Scenario Percentage |
100% |
100% |
20% |
57% |
83% |
67% |
100% |
83% |
45% |
73% |
63% |
| Avg Max Decline |
3.37% |
3.38% |
2.66% |
5.51% |
5.28% |
5.01% |
4.75% |
2.50% |
5.61% |
4.13% |
8.66% |
| Max Decline |
7.59% |
7.05% |
2.66% |
11.67% |
8.85% |
10.15% |
10.19% |
6.31% |
11.68% |
9.88% |
18.56% |
| Avg Days To Max Decline |
22 |
21 |
8 |
16 |
21 |
15 |
20 |
14 |
13 |
14 |
8 |
| Avg Max Increase |
-1.45% |
-2.35% |
-0.02% |
-0.47% |
-0.66% |
-0.49% |
-1.40% |
-1.09% |
-1.18% |
-0.93% |
-0.75% |
| Max Increase |
-1.54% |
-4.75% |
-0.02% |
-0.93% |
-0.89% |
-1.48% |
-2.27% |
-4.92% |
-2.41% |
-2.48% |
-2.91% |
| Avg Days to Max Increase |
17 |
19 |
2 |
2 |
6 |
10 |
11 |
8 |
12 |
9 |
4 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
|
|
Yes |
|
|
|
| Action |
|
|
Yes |
Yes |
|
|
|
Not Yet |
|
|
|
| High |
76.91 |
78.43 |
78.28 |
79.36 |
78.90 |
80.57 |
83.36 |
82.96 |
84.88 |
|
|
| Low |
73.71 |
75.72 |
77.40 |
76.58 |
76.63 |
76.57 |
80.83 |
81.56 |
82.70 |
|
|
| Close/Last |
76.91 |
78.43 |
78.18 |
77.01 |
78.30 |
80.46 |
82.73 |
82.58 |
84.60 |
|
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