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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(CME) as of Apr 17, 2003
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 24 26 26 27 27 27 27 27 27 27 27
Closed Higher 15 9 16 12 15 17 13 9 13 10 12
Exceeded High 13 4 11 7 12 13 8 9 11 9 8
Scenario Percentage 87% 44% 69% 58% 80% 76% 62% 100% 85% 90% 67%
Avg Max Increase 1.41% 1.18% 1.62% 2.52% 1.62% 1.59% 1.35% 1.74% 1.69% 1.88% 1.45%
Max Increase 3.78% 1.45% 3.96% 4.41% 2.76% 2.84% 2.62% 4.07% 4.62% 4.23% 2.84%
Avg Days To Max Increase 19 19 21 19 16 15 12 20 17 10 9
Avg Max Decline -0.59% -0.64% -0.49% -0.32% -0.54% -0.36% -0.26% -0.75% -0.39% -0.59% -0.16%
Max Decline -2.05% -1.45% -1.87% -0.69% -2.56% -2.06% -2.24% -1.76% -1.19% -1.68% -0.44%
Avg Days to Max Decline 10 8 10 8 6 10 3 10 8 8 3
2003 Contract Condition Yes Yes Yes   Yes   Yes     Yes Yes
Action Yes Yes No   No   Yes     Yes Yes
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Some data provided by Prophetfinance.com
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 24 26 26 27 27 27 27 27 27 27 27
Closed Lower 9 17 10 15 12 10 13 18 14 17 15
Penetrated Low 7 8 6 11 8 10 8 14 11 14 11
Scenario Percentage 78% 47% 60% 73% 67% 100% 62% 78% 79% 82% 73%
Avg Max Decline 1.82% 2.84% 3.40% 1.87% 2.57% 1.55% 2.04% 2.01% 1.94% 2.27% 3.55%
Max Decline 3.34% 4.42% 8.04% 5.10% 6.33% 3.91% 4.11% 3.89% 3.52% 5.65% 11.28%
Avg Days To Max Decline 12 19 19 18 18 17 18 19 16 13 10
Avg Max Increase -0.10% -0.29% -0.45% -0.13% -0.46% -0.73% -0.44% -0.35% -0.56% -0.20% -0.53%
Max Increase -0.36% -1.16% -0.97% -1.11% -1.31% -1.89% -1.83% -1.16% -1.35% -0.87% -1.94%
Avg Days to Max Increase 2 6 7 7 11 9 9 8 10 3 -62
2003 Contract Condition       Yes   Yes   Yes Yes    
Action       Yes   Yes   No No    
High 63.75 65.04 65.85 65.67 64.08 64.02 64.00 64.19 64.48 65.73 67.38
Low 62.30 63.32 64.10 62.35 62.13 62.57 62.20 62.52 63.08 63.18 65.13
Close/Last 63.45 65.04 65.53 62.61 63.74 62.65 63.95 63.69 63.22 65.65 67.29