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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Australian Dollar(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 10 10 10 17 18 19 20 21 21 21 21
Closed Higher 4 6 4 11 6 8 9 12 11 13 13
Exceeded High 3 5 4 10 5 6 9 11 10 12 9
Scenario Percentage 75% 83% 100% 91% 83% 75% 100% 92% 91% 92% 69%
Avg Max Increase 4.50% 4.31% 4.61% 3.81% 1.98% 2.69% 2.89% 3.80% 4.34% 3.91% 1.74%
Max Increase 5.27% 6.50% 6.45% 7.83% 4.98% 5.82% 5.49% 10.24% 9.75% 8.12% 4.11%
Avg Days To Max Increase 10 19 18 17 12 17 17 18 14 11 9
Avg Max Decline -0.17% -1.14% -0.95% -0.66% -0.46% -0.93% -1.89% -1.18% -0.90% -0.68% -0.45%
Max Decline -0.84% -3.27% -1.76% -4.00% -1.88% -3.44% -10.20% -3.23% -2.39% -2.43% -1.25%
Avg Days to Max Decline 2 12 4 5 8 7 14 8 9 3 3
2007 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes  
Action   Yes Yes Yes   Yes Yes   Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 10 10 10 17 18 19 20 21 21 21 21
Closed Lower 6 4 6 6 12 11 11 9 10 8 8
Penetrated Low 3 3 4 6 10 6 9 6 6 7 4
Scenario Percentage 50% 75% 67% 100% 83% 55% 82% 67% 60% 88% 50%
Avg Max Decline 5.79% 6.26% 4.91% 4.13% 2.63% 4.67% 4.46% 4.77% 4.09% 2.64% 7.33%
Max Decline 11.65% 8.78% 10.14% 10.10% 6.18% 11.65% 9.88% 11.09% 6.45% 6.50% 18.64%
Avg Days To Max Decline 13 19 14 21 15 12 16 23 22 16 11
Avg Max Increase -1.30% -0.58% -0.35% -1.38% -1.41% -1.01% -1.40% -1.22% -1.50% -1.31% -0.92%
Max Increase -2.46% -0.74% -1.53% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.10% -2.60%
Avg Days to Max Increase 9 5 7 12 11 10 10 13 8 8 7
2007 Contract Condition Yes       Yes     Yes     Yes
Action Yes       No     No     Yes
High 78.68 78.60 80.33 83.07 82.90 84.78 88.43 86.22 88.60 93.24 93.82
Low 76.28 76.33 76.27 80.41 81.30 82.52 84.21 76.52 81.47 87.26 86.40
Close/Last 76.71 78.00 80.17 82.44 82.36 84.36 85.21 81.32 88.57 93.12 88.18

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