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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Canadian Dollar(CME) as of Sep 10, 2010 |
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 |
31 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Higher |
20 |
16 |
20 |
15 |
20 |
23 |
16 |
13 |
18 |
11 |
17 |
| Exceeded High |
18 |
9 |
14 |
10 |
17 |
17 |
11 |
12 |
16 |
10 |
11 |
| Scenario Percentage |
90% |
56% |
70% |
67% |
85% |
74% |
69% |
92% |
89% |
91% |
65% |
| Avg Max Increase |
2.55% |
2.29% |
1.90% |
3.04% |
2.81% |
2.75% |
2.00% |
1.98% |
1.94% |
1.73% |
1.66% |
| Max Increase |
10.35% |
4.41% |
3.96% |
5.62% |
11.64% |
9.54% |
4.41% |
4.07% |
4.62% |
4.23% |
3.58% |
| Avg Days To Max Increase |
20 |
19 |
22 |
21 |
18 |
16 |
14 |
19 |
17 |
9 |
9 |
| Avg Max Decline |
-0.60% |
-1.30% |
-0.50% |
-0.51% |
-0.47% |
-0.53% |
-0.45% |
-1.09% |
-0.73% |
-0.74% |
-0.31% |
| Max Decline |
-2.05% |
-6.78% |
-1.87% |
-2.99% |
-2.56% |
-2.54% |
-2.24% |
-3.31% |
-4.63% |
-2.04% |
-1.31% |
| Avg Days to Max Decline |
9 |
13 |
10 |
9 |
5 |
8 |
3 |
14 |
8 |
8 |
2 |
| 2010 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
|
Yes |
|
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 |
31 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Lower |
11 |
17 |
13 |
19 |
14 |
11 |
17 |
21 |
16 |
23 |
17 |
| Penetrated Low |
9 |
8 |
9 |
13 |
9 |
11 |
11 |
17 |
13 |
19 |
13 |
| Scenario Percentage |
82% |
47% |
69% |
68% |
64% |
100% |
65% |
81% |
81% |
83% |
76% |
| Avg Max Decline |
1.73% |
2.84% |
3.17% |
2.15% |
4.25% |
1.68% |
2.68% |
2.38% |
2.15% |
2.23% |
4.44% |
| Max Decline |
3.34% |
4.42% |
8.04% |
5.52% |
17.72% |
3.91% |
7.78% |
4.78% |
4.53% |
5.91% |
16.48% |
| Avg Days To Max Decline |
13 |
19 |
17 |
17 |
19 |
17 |
17 |
19 |
15 |
11 |
10 |
| Avg Max Increase |
-0.27% |
-0.29% |
-0.87% |
-0.23% |
-0.79% |
-0.69% |
-0.80% |
-0.50% |
-0.53% |
-0.43% |
-0.57% |
| Max Increase |
-1.75% |
-1.16% |
-2.62% |
-1.56% |
-3.43% |
-1.89% |
-4.44% |
-2.60% |
-1.35% |
-1.49% |
-1.94% |
| Avg Days to Max Increase |
3 |
6 |
7 |
6 |
12 |
8 |
7 |
8 |
10 |
3 |
-52 |
| 2010 Contract Condition |
|
|
Yes |
|
Yes |
|
Yes |
|
|
Yes |
|
| Action |
|
|
Yes |
|
No |
|
No |
|
|
Yes |
|
| High |
84.52 |
91.89 |
92.84 |
93.02 |
94.00 |
94.39 |
97.94 |
95.97 |
96.50 |
97.80 |
96.43 |
| Low |
78.40 |
84.01 |
86.08 |
85.40 |
89.97 |
90.07 |
91.26 |
92.15 |
93.03 |
93.38 |
92.74 |
| Close/Last |
84.13 |
91.61 |
86.21 |
92.74 |
91.34 |
93.64 |
92.61 |
94.60 |
95.62 |
93.50 |
95.07 |
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