|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
27 |
28 |
29 |
31 |
31 |
31 |
31 |
32 |
32 |
32 |
32 |
| Closed Higher |
12 |
19 |
18 |
16 |
13 |
16 |
11 |
14 |
17 |
20 |
14 |
| Exceeded High |
9 |
15 |
13 |
11 |
12 |
13 |
10 |
12 |
13 |
16 |
7 |
| Scenario Percentage |
75% |
79% |
72% |
69% |
92% |
81% |
91% |
86% |
76% |
80% |
50% |
| Avg Max Increase |
2.76% |
3.05% |
2.87% |
1.89% |
1.91% |
1.93% |
2.14% |
2.57% |
2.87% |
1.92% |
1.23% |
| Max Increase |
5.50% |
11.03% |
8.79% |
3.80% |
4.34% |
4.98% |
4.22% |
5.71% |
9.67% |
7.68% |
2.63% |
| Avg Days To Max Increase |
23 |
21 |
15 |
14 |
20 |
19 |
16 |
21 |
17 |
12 |
9 |
| Avg Max Decline |
-0.04% |
-0.35% |
-0.23% |
-0.42% |
-0.92% |
-0.83% |
-0.72% |
-0.88% |
-0.48% |
-0.48% |
-0.40% |
| Max Decline |
-0.45% |
-2.51% |
-1.89% |
-2.21% |
-3.22% |
-4.68% |
-1.98% |
-3.56% |
-1.46% |
-1.93% |
-0.83% |
| Avg Days to Max Decline |
4 |
5 |
8 |
3 |
15 |
11 |
8 |
8 |
5 |
6 |
3 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
|
No |
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
27 |
28 |
29 |
31 |
31 |
31 |
31 |
32 |
32 |
32 |
32 |
| Closed Lower |
15 |
9 |
11 |
14 |
18 |
15 |
20 |
17 |
15 |
12 |
18 |
| Penetrated Low |
9 |
6 |
11 |
9 |
15 |
12 |
16 |
12 |
12 |
11 |
15 |
| Scenario Percentage |
60% |
67% |
100% |
64% |
83% |
80% |
80% |
71% |
80% |
92% |
83% |
| Avg Max Decline |
1.57% |
2.35% |
1.58% |
2.21% |
2.38% |
2.14% |
2.41% |
2.23% |
1.35% |
1.42% |
3.22% |
| Max Decline |
5.12% |
6.62% |
3.99% |
4.31% |
4.34% |
4.47% |
6.02% |
3.75% |
4.44% |
3.10% |
13.49% |
| Avg Days To Max Decline |
17 |
18 |
19 |
17 |
21 |
14 |
14 |
16 |
12 |
14 |
9 |
| Avg Max Increase |
-0.32% |
-0.35% |
-0.75% |
-0.15% |
-0.41% |
-0.52% |
-0.29% |
-0.54% |
-0.39% |
-0.48% |
-0.34% |
| Max Increase |
-1.54% |
-1.22% |
-2.35% |
-0.71% |
-2.05% |
-1.38% |
-1.42% |
-2.67% |
-1.22% |
-1.82% |
-1.32% |
| Avg Days to Max Increase |
9 |
10 |
9 |
4 |
6 |
10 |
3 |
6 |
7 |
5 |
4 |
| 2008 Contract Condition |
Yes |
|
|
|
Yes |
|
Yes |
|
Yes |
|
|
| Action |
Yes |
|
|
|
Yes |
|
No |
|
Yes |
|
|
| High |
97.05 |
95.69 |
100.76 |
105.69 |
109.62 |
102.00 |
101.59 |
102.75 |
102.38 |
100.04 |
101.70 |
| Low |
93.90 |
93.11 |
95.02 |
100.39 |
99.95 |
97.95 |
96.24 |
97.85 |
96.80 |
96.68 |
97.62 |
| Close/Last |
94.24 |
95.19 |
100.76 |
105.69 |
99.95 |
100.96 |
99.31 |
101.54 |
97.09 |
99.54 |
100.51 |
|
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