|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March British Pound(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
17 |
19 |
24 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
9 |
7 |
11 |
15 |
15 |
19 |
16 |
14 |
20 |
12 |
16 |
| Exceeded High |
6 |
6 |
8 |
10 |
11 |
15 |
12 |
12 |
13 |
7 |
8 |
| Scenario Percentage |
67% |
86% |
73% |
67% |
73% |
79% |
75% |
86% |
65% |
58% |
50% |
| Avg Max Increase |
3.34% |
5.67% |
3.37% |
2.97% |
4.51% |
5.34% |
4.52% |
4.14% |
3.26% |
3.29% |
1.98% |
| Max Increase |
5.68% |
12.78% |
11.10% |
5.71% |
9.32% |
13.69% |
9.95% |
8.88% |
7.62% |
6.15% |
4.83% |
| Avg Days To Max Increase |
21 |
21 |
20 |
18 |
16 |
17 |
18 |
19 |
16 |
10 |
8 |
| Avg Max Decline |
-0.39% |
-1.31% |
-0.71% |
-1.97% |
-0.67% |
-0.61% |
-0.83% |
-1.31% |
-0.41% |
-0.49% |
-0.34% |
| Max Decline |
-1.76% |
-2.83% |
-2.84% |
-8.60% |
-2.75% |
-3.41% |
-2.53% |
-4.03% |
-1.29% |
-1.90% |
-1.02% |
| Avg Days to Max Decline |
9 |
10 |
12 |
10 |
10 |
6 |
6 |
8 |
3 |
4 |
2 |
| 2006 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
|
|
Yes |
|
| Action |
No |
|
|
|
Yes |
|
No |
|
|
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
17 |
19 |
24 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
8 |
12 |
13 |
16 |
16 |
12 |
15 |
17 |
11 |
19 |
15 |
| Penetrated Low |
8 |
8 |
10 |
13 |
10 |
9 |
10 |
9 |
9 |
15 |
10 |
| Scenario Percentage |
100% |
67% |
77% |
81% |
63% |
75% |
67% |
53% |
82% |
79% |
67% |
| Avg Max Decline |
3.25% |
5.57% |
3.56% |
3.60% |
3.79% |
5.37% |
3.46% |
3.13% |
5.20% |
3.19% |
3.70% |
| Max Decline |
6.46% |
12.12% |
8.32% |
7.00% |
13.37% |
14.08% |
5.96% |
7.84% |
10.36% |
8.09% |
11.65% |
| Avg Days To Max Decline |
18 |
21 |
11 |
18 |
16 |
22 |
18 |
18 |
14 |
10 |
10 |
| Avg Max Increase |
-0.60% |
-0.61% |
-0.90% |
-1.06% |
-0.43% |
-0.88% |
-1.22% |
-1.61% |
-0.96% |
-0.73% |
-0.44% |
| Max Increase |
-2.18% |
-2.29% |
-3.25% |
-3.52% |
-1.45% |
-1.77% |
-4.65% |
-6.17% |
-3.63% |
-3.34% |
-2.66% |
| Avg Days to Max Increase |
6 |
5 |
9 |
12 |
6 |
10 |
7 |
7 |
8 |
6 |
4 |
| 2006 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
|
Yes |
Yes |
No |
|
Yes |
|
No |
No |
|
Yes |
| High |
189.33 |
188.14 |
181.60 |
176.93 |
181.00 |
183.63 |
178.58 |
177.46 |
177.70 |
179.00 |
178.10 |
| Low |
184.23 |
179.58 |
177.83 |
172.78 |
176.41 |
175.70 |
174.22 |
170.70 |
171.40 |
172.56 |
172.82 |
| Close/Last |
188.24 |
179.58 |
177.83 |
175.09 |
179.78 |
175.86 |
176.83 |
172.86 |
171.87 |
178.02 |
175.45 |
|
|