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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 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   13 13 13 20 21 22 23 24 24 24 24
Closed Higher   5 9 6 14 8 11 11 13 13 15 14
Exceeded High   4 8 6 12 7 9 11 12 12 14 9
Scenario Percentage   80% 89% 100% 86% 88% 82% 100% 92% 92% 93% 64%
Avg Max Increase   4.80% 5.13% 5.96% 4.46% 2.65% 3.78% 3.72% 4.40% 4.67% 3.94% 1.61%
Max Increase   5.69% 13.48% 15.16% 12.59% 5.02% 9.61% 8.52% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase   14 20 19 18 15 17 20 18 13 11 9
Avg Max Decline   -0.33% -1.62% -0.64% -0.71% -1.13% -1.40% -1.99% -1.27% -1.12% -0.65% -0.45%
Max Decline   -0.84% -5.28% -1.76% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline   3 10 3 5 13 7 15 7 8 3 3
2010 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes  
Action     Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   13 13 13 20 21 22 23 24 24 24 24
Closed Lower   8 4 7 6 13 11 12 11 11 9 10
Penetrated Low   5 3 4 6 10 6 10 7 7 7 3
Scenario Percentage   63% 75% 57% 100% 77% 55% 83% 64% 64% 78% 30%
Avg Max Decline   4.03% 6.26% 4.91% 4.13% 2.63% 4.67% 5.65% 8.29% 6.97% 2.53% 1.55%
Max Decline   11.65% 8.78% 10.14% 10.10% 6.18% 11.65% 16.33% 29.41% 24.23% 5.75% 2.91%
Avg Days To Max Decline   9 19 14 21 15 12 16 24 23 16 5
Avg Max Increase   -2.23% -0.58% -0.35% -1.38% -1.41% -1.01% -1.26% -1.09% -1.48% -1.31% -0.35%
Max Increase   -6.58% -0.74% -1.53% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.10% -0.99%
Avg Days to Max Increase   7 5 7 12 11 10 9 11 7 8 1
2010 Contract Condition   Yes       Yes     Yes     Yes
Action   Yes       No     No     Yes
High 88.94 89.57 87.35 89.51 90.86 90.25 86.72 89.24 90.82 96.50 99.36 101.37
Low 84.24 85.39 83.57 86.85 88.97 79.50 79.68 81.62 86.55 88.08 94.64 95.28
Close/Last 86.40 85.39 86.85 88.97 90.08 82.73 82.86 88.92 87.73 95.86 97.42 95.89

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