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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Canadian Dollar(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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
26 |
28 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Higher |
16 |
11 |
18 |
13 |
17 |
19 |
15 |
11 |
14 |
10 |
13 |
| Exceeded High |
14 |
6 |
12 |
8 |
14 |
15 |
10 |
10 |
12 |
9 |
9 |
| Scenario Percentage |
88% |
55% |
67% |
62% |
82% |
79% |
67% |
91% |
86% |
90% |
69% |
| Avg Max Increase |
1.87% |
1.98% |
1.72% |
2.90% |
2.42% |
2.17% |
1.76% |
1.81% |
1.74% |
1.88% |
1.61% |
| Max Increase |
7.91% |
4.41% |
3.96% |
5.62% |
7.92% |
7.45% |
3.84% |
4.07% |
4.62% |
4.23% |
3.01% |
| Avg Days To Max Increase |
19 |
18 |
21 |
21 |
17 |
17 |
15 |
19 |
16 |
10 |
10 |
| Avg Max Decline |
-0.53% |
-0.64% |
-0.47% |
-0.29% |
-0.49% |
-0.38% |
-0.44% |
-1.01% |
-0.35% |
-0.59% |
-0.29% |
| Max Decline |
-2.05% |
-1.45% |
-1.87% |
-0.69% |
-2.56% |
-2.06% |
-2.24% |
-3.31% |
-1.19% |
-1.68% |
-1.31% |
| Avg Days to Max Decline |
9 |
8 |
11 |
7 |
5 |
9 |
3 |
10 |
7 |
8 |
3 |
| 2002 Contract Condition |
Yes |
|
Yes |
|
|
|
|
Yes |
|
Yes |
|
| Action |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
26 |
28 |
28 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
29 |
| Closed Lower |
10 |
17 |
10 |
16 |
12 |
10 |
13 |
18 |
15 |
19 |
16 |
| Penetrated Low |
8 |
8 |
6 |
11 |
8 |
10 |
8 |
14 |
12 |
16 |
12 |
| Scenario Percentage |
80% |
47% |
60% |
69% |
67% |
100% |
62% |
78% |
80% |
84% |
75% |
| Avg Max Decline |
1.83% |
2.84% |
3.40% |
1.87% |
2.57% |
1.55% |
2.04% |
2.01% |
2.16% |
2.21% |
4.63% |
| Max Decline |
3.34% |
4.42% |
8.04% |
5.10% |
6.33% |
3.91% |
4.11% |
3.89% |
4.53% |
5.65% |
16.48% |
| Avg Days To Max Decline |
13 |
19 |
19 |
18 |
18 |
17 |
18 |
19 |
15 |
12 |
10 |
| Avg Max Increase |
-0.09% |
-0.29% |
-0.45% |
-0.13% |
-0.46% |
-0.73% |
-0.44% |
-0.35% |
-0.56% |
-0.30% |
-0.62% |
| Max Increase |
-0.36% |
-1.16% |
-0.97% |
-1.11% |
-1.31% |
-1.89% |
-1.83% |
-1.16% |
-1.35% |
-1.49% |
-1.94% |
| Avg Days to Max Increase |
2 |
6 |
7 |
7 |
11 |
9 |
9 |
8 |
10 |
3 |
-56 |
| 2002 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
|
No |
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Not Yet |
| High |
65.06 |
65.38 |
65.87 |
66.04 |
65.37 |
64.40 |
64.17 |
63.63 |
64.07 |
63.18 |
63.06 |
| Low |
63.32 |
64.25 |
64.88 |
64.45 |
64.38 |
63.10 |
62.85 |
62.30 |
62.25 |
61.86 |
62.00 |
| Close/Last |
65.06 |
64.88 |
65.87 |
65.16 |
64.41 |
63.23 |
62.92 |
63.53 |
62.76 |
63.06 |
62.40 |
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