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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 30, 2011
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   14 14 14 21 22 23 24 25 25 25 25
Closed Higher   5 10 7 15 8 12 12 13 13 16 14
Exceeded High   4 9 7 12 7 10 11 12 12 14 9
Scenario Percentage   80% 90% 100% 80% 88% 83% 92% 92% 92% 88% 64%
Avg Max Increase   4.80% 5.51% 5.98% 4.46% 2.65% 3.75% 3.72% 4.40% 4.67% 3.97% 1.74%
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 21 16 18 15 18 20 18 13 11 9
Avg Max Decline   -0.33% -1.81% -0.58% -0.71% -1.13% -1.43% -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 11 3 5 13 7 15 7 8 3 3
2011 Contract Condition     Yes Yes Yes   Yes Yes     Yes  
Action     Yes Yes No   Yes No     Not Yet  
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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   14 14 14 21 22 23 24 25 25 25 25
Closed Lower   9 4 7 6 14 11 12 12 12 9 11
Penetrated Low   5 3 4 6 11 6 10 8 8 7 4
Scenario Percentage   56% 75% 57% 100% 79% 55% 83% 67% 67% 78% 36%
Avg Max Decline   4.03% 6.26% 4.91% 4.13% 2.57% 4.67% 5.65% 8.73% 6.50% 2.64% 2.09%
Max Decline   11.65% 8.78% 10.14% 10.10% 6.18% 11.65% 16.33% 29.41% 24.23% 6.50% 3.69%
Avg Days To Max Decline   9 19 14 21 16 12 16 21 20 16 9
Avg Max Increase   -2.23% -0.58% -0.35% -1.38% -1.35% -1.01% -1.26% -1.05% -1.29% -1.31% -0.51%
Max Increase   -6.58% -0.74% -1.53% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.10% -1.00%
Avg Days to Max Increase   7 5 7 12 11 10 9 10 7 8 4
2011 Contract Condition   Yes       Yes     Yes Yes   Yes
Action   No       Yes     Yes Yes   Not Yet
High 97.75 97.36 98.15 100.36 106.51 106.51 105.30 108.75 108.66 106.30 106.87 105.07
Low 91.57 94.52 95.76 94.83 100.14 102.00 101.89 103.30 97.95 95.24 93.02 96.33
Close/Last 97.75 95.76 98.15 100.36 106.51 103.90 105.07 108.08 105.52 96.11 105.31 102.39

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