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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar 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 8 14 9 17 16 11 11 14 10 10
Scenario Percentage   89% 57% 70% 64% 85% 76% 69% 92% 88% 91% 63%
Avg Max Increase   2.10% 2.39% 1.91% 3.18% 2.82% 2.66% 2.04% 1.86% 1.79% 1.77% 1.55%
Max Increase   7.91% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.01%
Avg Days To Max Increase   21 18 22 22 18 16 14 20 18 9 10
Avg Max Decline   -0.55% -0.65% -0.50% -0.25% -0.49% -0.41% -0.47% -1.04% -0.74% -0.74% -0.29%
Max Decline   -2.05% -1.45% -1.87% -0.69% -2.56% -2.06% -2.24% -3.31% -4.63% -2.04% -1.31%
Avg Days to Max Decline   10 10 10 10 5 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
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar 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 9
Scenario Percentage   82% 47% 64% 67% 67% 100% 67% 80% 81% 81% 56%
Avg Max Decline   1.73% 2.84% 3.27% 1.86% 2.57% 1.68% 2.17% 2.23% 2.17% 2.15% 1.42%
Max Decline   3.34% 4.42% 8.04% 5.10% 6.33% 3.91% 4.11% 3.89% 4.53% 5.65% 2.28%
Avg Days To Max Decline   13 19 20 18 18 17 18 20 15 12 11
Avg Max Increase   -0.30% -0.29% -0.52% -0.26% -0.46% -0.69% -0.44% -0.49% -0.53% -0.31% -0.19%
Max Increase   -1.75% -1.16% -0.98% -1.56% -1.31% -1.89% -1.83% -2.60% -1.35% -1.49% -0.52%
Avg Days to Max Increase   3 6 7 7 11 8 8 8 10 3 2
2008 Contract Condition         Yes       Yes   Yes  
Action         Yes       Yes   Not Yet  
High 87.80 91.12 94.26 95.73 96.98 95.76 100.97 106.20 110.37 102.59 101.67 102.98
Low 85.54 86.98 90.28 93.41 93.74 92.50 94.73 99.99 99.85 97.55 96.31 98.02
Close/Last 87.54 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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