|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Australian Dollar(CME) as of Sep 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
9 |
9 |
9 |
16 |
17 |
18 |
19 |
20 |
20 |
20 |
20 |
| Closed Higher |
4 |
5 |
3 |
10 |
6 |
7 |
8 |
12 |
10 |
12 |
13 |
| Exceeded High |
3 |
4 |
3 |
9 |
5 |
5 |
8 |
11 |
9 |
11 |
9 |
| Scenario Percentage |
75% |
80% |
100% |
90% |
83% |
71% |
100% |
92% |
90% |
92% |
69% |
| Avg Max Increase |
4.46% |
3.69% |
4.93% |
3.89% |
1.90% |
2.23% |
2.73% |
3.78% |
4.10% |
4.09% |
1.66% |
| Max Increase |
5.15% |
5.36% |
6.41% |
7.83% |
4.80% |
5.82% |
5.49% |
10.24% |
9.22% |
8.12% |
4.11% |
| Avg Days To Max Increase |
10 |
19 |
17 |
16 |
11 |
15 |
16 |
18 |
15 |
11 |
9 |
| Avg Max Decline |
-0.17% |
-0.76% |
-1.37% |
-0.57% |
-0.45% |
-1.10% |
-0.83% |
-1.16% |
-0.81% |
-0.46% |
-0.29% |
| Max Decline |
-0.84% |
-3.27% |
-1.76% |
-4.00% |
-1.83% |
-3.44% |
-1.73% |
-3.23% |
-2.39% |
-1.65% |
-1.25% |
| Avg Days to Max Decline |
2 |
13 |
5 |
6 |
8 |
8 |
13 |
8 |
8 |
6 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
|
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 |
9 |
9 |
9 |
16 |
17 |
18 |
19 |
20 |
20 |
20 |
20 |
| Closed Lower |
5 |
4 |
6 |
6 |
11 |
11 |
11 |
8 |
10 |
8 |
7 |
| Penetrated Low |
2 |
3 |
4 |
6 |
9 |
6 |
9 |
6 |
6 |
7 |
3 |
| Scenario Percentage |
40% |
75% |
67% |
100% |
82% |
55% |
82% |
75% |
60% |
88% |
43% |
| Avg Max Decline |
8.40% |
6.26% |
4.91% |
4.12% |
2.39% |
4.62% |
4.40% |
4.75% |
4.08% |
2.64% |
3.51% |
| Max Decline |
11.65% |
8.78% |
10.14% |
10.10% |
6.18% |
11.65% |
9.88% |
11.09% |
6.45% |
6.50% |
5.82% |
| Avg Days To Max Decline |
18 |
19 |
14 |
21 |
15 |
12 |
16 |
23 |
22 |
16 |
6 |
| Avg Max Increase |
-0.72% |
-0.58% |
-0.35% |
-1.36% |
-1.53% |
-0.94% |
-1.40% |
-1.19% |
-1.49% |
-1.29% |
-0.84% |
| Max Increase |
-0.93% |
-0.74% |
-1.53% |
-2.41% |
-4.71% |
-2.36% |
-5.96% |
-3.00% |
-3.42% |
-2.10% |
-2.44% |
| Avg Days to Max Increase |
1 |
5 |
7 |
12 |
13 |
10 |
10 |
13 |
8 |
8 |
5 |
| 2007 Contract Condition |
Yes |
|
|
|
Yes |
|
|
Yes |
|
|
|
| Action |
Yes |
|
|
|
No |
|
|
Not Yet |
|
|
|
| High |
78.35 |
78.60 |
80.28 |
83.07 |
82.67 |
84.36 |
88.05 |
85.95 |
88.57 |
89.21 |
|
| Low |
76.28 |
76.33 |
76.27 |
80.54 |
81.38 |
82.84 |
84.83 |
77.48 |
81.92 |
88.55 |
|
| Close/Last |
76.71 |
78.00 |
80.17 |
82.44 |
82.36 |
84.36 |
85.21 |
81.32 |
88.57 |
89.20 |
|
|
|
