|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Canadian Dollar(CME) as of Jan 07, 2009 |
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 |
29 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
18 |
14 |
20 |
14 |
20 |
21 |
16 |
12 |
16 |
11 |
16 |
| Exceeded High |
16 |
9 |
14 |
9 |
16 |
16 |
11 |
11 |
14 |
10 |
10 |
| Scenario Percentage |
89% |
64% |
70% |
64% |
80% |
76% |
69% |
92% |
88% |
91% |
63% |
| Avg Max Increase |
2.05% |
2.15% |
1.89% |
3.17% |
2.95% |
2.61% |
1.97% |
1.86% |
1.79% |
1.76% |
1.49% |
| Max Increase |
7.91% |
4.41% |
3.96% |
5.62% |
11.12% |
9.18% |
4.07% |
4.07% |
4.62% |
4.23% |
2.84% |
| Avg Days To Max Increase |
18 |
17 |
22 |
22 |
19 |
16 |
14 |
20 |
18 |
9 |
9 |
| Avg Max Decline |
-0.51% |
-0.75% |
-0.48% |
-0.23% |
-0.46% |
-0.40% |
-0.45% |
-1.04% |
-0.74% |
-0.74% |
-0.28% |
| Max Decline |
-2.05% |
-1.88% |
-1.87% |
-0.69% |
-2.56% |
-2.06% |
-2.24% |
-3.31% |
-4.63% |
-2.04% |
-1.31% |
| Avg Days to Max Decline |
11 |
9 |
10 |
8 |
6 |
8 |
3 |
14 |
9 |
8 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
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 |
29 |
31 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
11 |
17 |
11 |
18 |
12 |
11 |
15 |
20 |
16 |
21 |
16 |
| Penetrated Low |
9 |
8 |
7 |
12 |
8 |
11 |
10 |
16 |
13 |
17 |
12 |
| Scenario Percentage |
82% |
47% |
64% |
67% |
67% |
100% |
67% |
80% |
81% |
81% |
75% |
| Avg Max Decline |
1.72% |
2.84% |
3.25% |
1.81% |
2.57% |
1.67% |
2.17% |
2.23% |
2.15% |
2.14% |
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 |
20 |
18 |
18 |
17 |
18 |
20 |
15 |
12 |
10 |
| Avg Max Increase |
-0.27% |
-0.29% |
-0.50% |
-0.25% |
-0.46% |
-0.69% |
-0.38% |
-0.46% |
-0.52% |
-0.30% |
-0.62% |
| Max Increase |
-1.75% |
-1.16% |
-0.97% |
-1.54% |
-1.31% |
-1.89% |
-1.83% |
-2.29% |
-1.35% |
-1.49% |
-1.94% |
| Avg Days to Max Increase |
3 |
6 |
7 |
7 |
11 |
8 |
8 |
9 |
10 |
3 |
-56 |
| 2008 Contract Condition |
|
|
|
Yes |
|
|
|
Yes |
|
Yes |
|
| Action |
|
|
|
Yes |
|
|
|
Yes |
|
Not Yet |
|
| High |
90.93 |
94.15 |
95.27 |
96.96 |
95.67 |
100.85 |
105.71 |
110.01 |
102.28 |
101.67 |
102.98 |
| Low |
87.10 |
90.54 |
93.41 |
93.88 |
93.07 |
94.99 |
100.10 |
99.93 |
97.76 |
96.31 |
98.02 |
| Close/Last |
90.93 |
94.11 |
94.51 |
94.22 |
95.13 |
100.76 |
105.71 |
99.99 |
100.99 |
99.51 |
101.74 |
|
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