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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Australian Dollar(CME) as of Jun 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
10 |
10 |
10 |
15 |
16 |
18 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
6 |
7 |
4 |
7 |
10 |
9 |
14 |
8 |
10 |
10 |
12 |
| Exceeded High |
6 |
5 |
4 |
5 |
9 |
7 |
13 |
8 |
8 |
8 |
7 |
| Scenario Percentage |
100% |
71% |
100% |
71% |
90% |
78% |
93% |
100% |
80% |
80% |
58% |
| Avg Max Increase |
4.07% |
4.86% |
3.17% |
4.23% |
4.41% |
5.29% |
4.16% |
2.66% |
3.22% |
2.59% |
1.90% |
| 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 |
24 |
13 |
14 |
16 |
19 |
20 |
18 |
11 |
15 |
12 |
10 |
| Avg Max Decline |
-0.31% |
-0.55% |
-0.67% |
-0.10% |
-0.88% |
-0.66% |
-0.64% |
-0.59% |
-0.57% |
-0.90% |
-0.61% |
| Max Decline |
-1.55% |
-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 |
8 |
8 |
12 |
4 |
11 |
4 |
6 |
6 |
6 |
11 |
3 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
| Action |
No |
|
|
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 |
10 |
10 |
10 |
15 |
16 |
18 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
4 |
3 |
6 |
8 |
6 |
9 |
7 |
13 |
11 |
11 |
9 |
| Penetrated Low |
4 |
3 |
2 |
5 |
5 |
6 |
7 |
10 |
5 |
8 |
6 |
| Scenario Percentage |
100% |
100% |
33% |
63% |
83% |
67% |
100% |
77% |
45% |
73% |
67% |
| Avg Max Decline |
3.37% |
3.38% |
2.35% |
4.52% |
5.28% |
5.01% |
4.75% |
2.50% |
5.61% |
4.04% |
8.53% |
| 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 |
18 |
14 |
21 |
15 |
20 |
14 |
13 |
14 |
11 |
| Avg Max Increase |
-1.45% |
-2.35% |
-0.76% |
-0.86% |
-0.66% |
-0.49% |
-1.40% |
-1.09% |
-1.18% |
-0.93% |
-1.17% |
| Max Increase |
-1.54% |
-4.75% |
-1.51% |
-2.45% |
-0.89% |
-1.48% |
-2.27% |
-4.92% |
-2.41% |
-2.48% |
-3.30% |
| Avg Days to Max Increase |
17 |
19 |
2 |
6 |
6 |
10 |
11 |
8 |
12 |
9 |
5 |
| 2008 Contract Condition |
|
Yes |
Yes |
|
|
Yes |
|
|
|
|
|
| Action |
|
Yes |
Yes |
|
|
No |
|
|
|
|
|
| High |
91.28 |
91.18 |
86.61 |
87.86 |
92.37 |
92.00 |
93.63 |
94.81 |
95.37 |
|
|
| Low |
86.28 |
85.33 |
83.93 |
83.13 |
86.68 |
86.95 |
88.29 |
91.69 |
92.22 |
|
|
| Close/Last |
91.28 |
86.28 |
85.92 |
87.26 |
90.67 |
89.21 |
92.98 |
94.29 |
94.93 |
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