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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September British Pound(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
14 |
16 |
19 |
29 |
29 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Higher |
5 |
5 |
14 |
11 |
14 |
16 |
15 |
12 |
17 |
15 |
15 |
| Exceeded High |
4 |
4 |
9 |
9 |
9 |
13 |
11 |
11 |
14 |
9 |
10 |
| Scenario Percentage |
80% |
80% |
64% |
82% |
64% |
81% |
73% |
92% |
82% |
60% |
67% |
| Avg Max Increase |
3.07% |
6.18% |
3.46% |
3.19% |
4.99% |
3.32% |
4.24% |
6.61% |
4.46% |
3.47% |
2.35% |
| Max Increase |
5.83% |
9.04% |
7.07% |
8.91% |
9.44% |
6.52% |
8.63% |
12.65% |
13.11% |
10.35% |
7.99% |
| Avg Days To Max Increase |
19 |
14 |
17 |
14 |
15 |
20 |
25 |
21 |
19 |
10 |
9 |
| Avg Max Decline |
-1.02% |
-1.49% |
-0.18% |
-0.88% |
-0.51% |
-1.32% |
-0.82% |
-1.34% |
-0.46% |
-1.31% |
-0.35% |
| Max Decline |
-2.44% |
-2.87% |
-1.25% |
-3.13% |
-2.55% |
-4.48% |
-2.07% |
-3.02% |
-3.08% |
-3.63% |
-1.60% |
| Avg Days to Max Decline |
10 |
4 |
3 |
6 |
5 |
7 |
10 |
7 |
10 |
8 |
4 |
| 2001 Contract Condition |
|
|
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
| Action |
|
|
Yes |
|
|
|
No |
|
|
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
14 |
16 |
19 |
29 |
29 |
30 |
30 |
30 |
30 |
30 |
30 |
| Closed Lower |
8 |
11 |
5 |
18 |
15 |
14 |
15 |
18 |
13 |
15 |
15 |
| Penetrated Low |
5 |
5 |
5 |
14 |
11 |
11 |
15 |
13 |
11 |
12 |
10 |
| Scenario Percentage |
63% |
45% |
100% |
78% |
73% |
79% |
100% |
72% |
85% |
80% |
67% |
| Avg Max Decline |
3.33% |
2.78% |
6.22% |
3.76% |
3.98% |
4.13% |
5.09% |
5.26% |
3.36% |
2.95% |
7.81% |
| Max Decline |
6.11% |
9.82% |
11.58% |
7.99% |
12.12% |
8.21% |
11.56% |
12.29% |
9.00% |
6.85% |
18.08% |
| Avg Days To Max Decline |
22 |
17 |
19 |
18 |
19 |
17 |
15 |
15 |
10 |
13 |
14 |
| Avg Max Increase |
-1.02% |
-1.45% |
0.03% |
-0.72% |
-1.30% |
-0.80% |
-0.78% |
-0.80% |
-1.11% |
-1.05% |
-0.79% |
| Max Increase |
-4.68% |
-3.12% |
-1.42% |
-3.23% |
-3.05% |
-3.41% |
-2.18% |
-2.34% |
-3.33% |
-3.52% |
-2.08% |
| Avg Days to Max Increase |
3 |
11 |
3 |
5 |
12 |
6 |
6 |
3 |
8 |
7 |
6 |
| 2001 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
Yes |
No |
|
Yes |
Yes |
Yes |
|
Yes |
No |
|
|
| High |
147.72 |
145.80 |
149.96 |
151.00 |
147.90 |
147.20 |
144.26 |
144.20 |
141.56 |
143.26 |
146.02 |
| Low |
142.80 |
140.80 |
144.28 |
144.90 |
143.20 |
141.30 |
141.30 |
140.38 |
136.64 |
139.38 |
141.08 |
| Close/Last |
145.54 |
143.38 |
149.82 |
146.00 |
144.22 |
141.36 |
142.66 |
141.18 |
140.94 |
142.28 |
145.38 |
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