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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Canadian Dollar(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
25 |
26 |
27 |
29 |
29 |
29 |
29 |
30 |
30 |
30 |
30 |
| Closed Higher |
12 |
17 |
17 |
15 |
13 |
15 |
11 |
12 |
16 |
18 |
12 |
| Exceeded High |
9 |
14 |
12 |
10 |
12 |
12 |
10 |
11 |
12 |
14 |
6 |
| Scenario Percentage |
75% |
82% |
71% |
67% |
92% |
80% |
91% |
92% |
75% |
78% |
50% |
| Avg Max Increase |
2.76% |
2.48% |
2.38% |
1.70% |
1.91% |
1.95% |
2.14% |
2.29% |
2.44% |
1.64% |
1.10% |
| Max Increase |
5.50% |
7.77% |
7.43% |
3.80% |
4.34% |
4.98% |
4.22% |
4.76% |
9.67% |
7.27% |
2.23% |
| Avg Days To Max Increase |
23 |
21 |
16 |
15 |
20 |
18 |
16 |
21 |
16 |
10 |
7 |
| Avg Max Decline |
-0.04% |
-0.37% |
-0.22% |
-0.41% |
-0.92% |
-0.50% |
-0.72% |
-0.87% |
-0.48% |
-0.37% |
-0.51% |
| Max Decline |
-0.45% |
-2.51% |
-1.89% |
-2.21% |
-3.22% |
-1.48% |
-1.98% |
-3.56% |
-1.46% |
-1.32% |
-0.83% |
| Avg Days to Max Decline |
4 |
5 |
9 |
3 |
15 |
10 |
8 |
8 |
5 |
6 |
3 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
Yes |
No |
|
|
Yes |
No |
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
25 |
26 |
27 |
29 |
29 |
29 |
29 |
30 |
30 |
30 |
30 |
| Closed Lower |
13 |
9 |
10 |
13 |
16 |
14 |
18 |
17 |
14 |
12 |
18 |
| Penetrated Low |
8 |
6 |
10 |
8 |
13 |
11 |
15 |
12 |
11 |
11 |
15 |
| Scenario Percentage |
62% |
67% |
100% |
62% |
81% |
79% |
83% |
71% |
79% |
92% |
83% |
| Avg Max Decline |
1.62% |
2.35% |
1.46% |
1.98% |
2.17% |
2.16% |
2.50% |
2.23% |
1.44% |
1.40% |
3.17% |
| Max Decline |
5.12% |
6.62% |
3.99% |
4.31% |
4.34% |
4.47% |
6.02% |
3.75% |
4.44% |
2.89% |
13.49% |
| Avg Days To Max Decline |
17 |
18 |
19 |
16 |
21 |
14 |
14 |
16 |
13 |
14 |
8 |
| Avg Max Increase |
-0.17% |
-0.35% |
-0.81% |
-0.25% |
-0.32% |
-0.56% |
-0.30% |
-0.54% |
-0.36% |
-0.48% |
-0.34% |
| Max Increase |
-0.90% |
-1.22% |
-2.35% |
-0.71% |
-1.10% |
-1.38% |
-1.42% |
-2.67% |
-1.22% |
-1.82% |
-1.32% |
| Avg Days to Max Increase |
9 |
10 |
9 |
3 |
4 |
11 |
3 |
6 |
8 |
5 |
4 |
| 2005 Contract Condition |
|
|
|
|
|
Yes |
Yes |
|
|
Yes |
|
| Action |
|
|
|
|
|
Yes |
Yes |
|
|
Yes |
|
| High |
76.16 |
76.89 |
79.03 |
81.86 |
84.90 |
84.45 |
83.70 |
81.78 |
83.56 |
82.95 |
80.93 |
| Low |
74.40 |
74.82 |
76.30 |
78.35 |
81.28 |
80.32 |
80.29 |
79.56 |
80.15 |
79.27 |
78.55 |
| Close/Last |
74.91 |
75.96 |
79.03 |
81.79 |
84.29 |
83.28 |
80.68 |
81.17 |
82.69 |
79.48 |
79.76 |
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