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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Canadian Dollar(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 34 34 35 35 35 35 35 35 35 35
Closed Higher   11 15 19 22 17 21 17 19 23 16 14
Exceeded High   10 14 15 18 11 14 12 16 17 13 10
Scenario Percentage   91% 93% 79% 82% 65% 67% 71% 84% 74% 81% 71%
Avg Max Increase   2.21% 2.55% 3.67% 2.61% 2.24% 2.07% 2.64% 2.95% 2.90% 1.75% 1.00%
Max Increase   3.89% 5.55% 15.26% 10.44% 4.65% 3.83% 5.79% 11.76% 9.64% 4.47% 1.95%
Avg Days To Max Increase   14 19 16 19 18 21 21 20 15 12 10
Avg Max Decline   -0.66% -0.93% -0.41% -0.57% -1.22% -0.53% -0.53% -0.57% -0.60% -0.45% -0.22%
Max Decline   -1.96% -3.40% -1.42% -1.91% -6.74% -1.77% -3.04% -2.54% -2.56% -2.18% -0.72%
Avg Days to Max Decline   9 9 6 8 11 9 8 5 9 3 3
2011 Contract Condition     Yes Yes Yes   Yes Yes     Yes  
Action     Yes Yes No   Yes No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 34 34 35 35 35 35 35 35 35 35
Closed Lower   19 19 15 12 17 13 18 16 11 18 21
Penetrated Low   14 13 11 10 8 9 12 10 11 12 15
Scenario Percentage   74% 68% 73% 83% 47% 69% 67% 63% 100% 67% 71%
Avg Max Decline   2.79% 2.37% 1.53% 2.14% 2.87% 2.73% 2.23% 4.75% 1.80% 2.31% 1.41%
Max Decline   6.46% 4.65% 4.22% 5.89% 4.34% 7.77% 5.50% 18.14% 3.86% 7.72% 4.70%
Avg Days To Max Decline   15 15 12 14 21 19 17 18 15 11 11
Avg Max Increase   -0.44% -0.41% -0.21% -0.38% -0.27% -1.38% -0.36% -0.94% -0.66% -0.64% -0.24%
Max Increase   -1.39% -2.64% -1.08% -1.79% -1.24% -5.02% -1.74% -3.56% -1.49% -4.79% -0.77%
Avg Days to Max Increase   3 6 6 3 8 11 8 14 8 4 2
2011 Contract Condition   Yes       Yes     Yes Yes   Yes
Action   No       Yes     Yes Yes   Not Yet
High 99.75 100.49 102.10 102.52 105.10 105.03 103.41 105.93 105.00 102.46 100.97 100.14
Low 96.52 98.71 99.05 99.81 102.49 101.37 100.50 101.95 99.67 95.04 93.67 94.97
Close/Last 99.62 99.05 102.10 102.52 105.03 102.66 103.33 104.35 101.89 95.61 100.50 98.01

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