|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Canadian Dollar(CME) as of Apr 04, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
27 |
30 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
11 |
12 |
16 |
19 |
15 |
20 |
14 |
19 |
20 |
14 |
13 |
| Exceeded High |
10 |
12 |
12 |
16 |
11 |
13 |
10 |
16 |
15 |
12 |
10 |
| Scenario Percentage |
91% |
100% |
75% |
84% |
73% |
65% |
71% |
84% |
75% |
86% |
77% |
| Avg Max Increase |
2.21% |
2.22% |
2.92% |
2.08% |
2.10% |
2.03% |
2.80% |
2.92% |
2.71% |
1.65% |
0.86% |
| Max Increase |
3.89% |
5.24% |
9.67% |
7.69% |
4.54% |
3.83% |
5.79% |
11.29% |
9.28% |
4.12% |
1.91% |
| Avg Days To Max Increase |
16 |
18 |
14 |
18 |
15 |
21 |
23 |
20 |
16 |
11 |
11 |
| Avg Max Decline |
-0.64% |
-0.85% |
-0.43% |
-0.46% |
-0.77% |
-0.45% |
-0.29% |
-0.54% |
-0.44% |
-0.46% |
-0.34% |
| Max Decline |
-1.81% |
-3.17% |
-1.39% |
-1.85% |
-1.88% |
-1.77% |
-0.78% |
-2.54% |
-2.02% |
-2.18% |
-1.34% |
| Avg Days to Max Decline |
9 |
9 |
6 |
9 |
8 |
9 |
9 |
5 |
9 |
3 |
3 |
| 2006 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
Yes |
Yes |
|
Yes |
Yes |
|
|
No |
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
27 |
30 |
30 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
15 |
18 |
14 |
11 |
15 |
10 |
17 |
12 |
10 |
16 |
18 |
| Penetrated Low |
12 |
12 |
9 |
9 |
7 |
6 |
11 |
8 |
10 |
11 |
14 |
| Scenario Percentage |
80% |
67% |
64% |
82% |
47% |
60% |
65% |
67% |
100% |
69% |
78% |
| Avg Max Decline |
2.74% |
2.35% |
1.76% |
1.71% |
2.98% |
2.98% |
1.87% |
2.66% |
1.77% |
1.81% |
3.06% |
| Max Decline |
6.46% |
4.65% |
4.22% |
3.35% |
4.34% |
7.77% |
4.92% |
5.60% |
3.86% |
3.32% |
14.05% |
| Avg Days To Max Decline |
16 |
16 |
15 |
13 |
20 |
20 |
18 |
19 |
16 |
11 |
12 |
| Avg Max Increase |
-0.28% |
-0.43% |
-0.22% |
-0.35% |
-0.27% |
-0.56% |
-0.37% |
-0.66% |
-0.71% |
-0.23% |
-0.18% |
| Max Increase |
-1.39% |
-2.44% |
-1.08% |
-1.79% |
-1.24% |
-0.97% |
-1.54% |
-1.82% |
-1.49% |
-0.90% |
-0.53% |
| Avg Days to Max Increase |
3 |
6 |
7 |
3 |
7 |
7 |
8 |
15 |
8 |
4 |
2 |
| 2006 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
| Action |
|
|
No |
|
|
Yes |
No |
|
Yes |
Yes |
Yes |
| High |
88.58 |
88.71 |
89.09 |
89.95 |
91.60 |
91.70 |
90.63 |
90.90 |
90.82 |
89.90 |
88.95 |
| Low |
86.14 |
86.98 |
85.90 |
85.93 |
89.33 |
89.30 |
87.95 |
88.38 |
88.83 |
87.75 |
87.06 |
| Close/Last |
88.58 |
88.71 |
86.26 |
89.94 |
91.29 |
89.95 |
88.76 |
90.84 |
89.67 |
89.27 |
87.65 |
|
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