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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 Jan 01, 2013
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   32 35 35 36 36 36 36 36 36 36 36
Closed Higher   12 16 19 23 17 22 18 20 24 16 15
Exceeded High   11 15 15 18 11 15 13 17 17 13 11
Scenario Percentage   92% 94% 79% 78% 65% 68% 72% 85% 71% 81% 73%
Avg Max Increase   2.18% 2.49% 3.67% 2.61% 2.24% 2.16% 2.76% 2.92% 2.90% 1.75% 1.01%
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   13 20 16 19 18 21 20 20 15 12 10
Avg Max Decline   -0.61% -0.92% -0.41% -0.57% -1.22% -0.55% -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 11 6 8 11 9 8 5 9 3 3
2012 Contract Condition   Yes Yes   Yes   Yes Yes Yes Yes   Yes
Action   Yes Yes   No   Yes Yes Yes No   Yes
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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   32 35 35 36 36 36 36 36 36 36 36
Closed Lower   19 19 16 12 18 13 18 16 11 19 21
Penetrated Low   14 13 12 10 9 9 12 10 11 13 15
Scenario Percentage   74% 68% 75% 83% 50% 69% 67% 63% 100% 68% 71%
Avg Max Decline   2.79% 2.37% 1.70% 2.14% 2.66% 2.73% 2.23% 4.75% 1.80% 2.17% 1.37%
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 14 14 19 19 17 18 15 11 11
Avg Max Increase   -0.44% -0.41% -0.33% -0.38% -0.24% -1.38% -0.36% -0.94% -0.66% -0.69% -0.24%
Max Increase   -1.39% -2.64% -1.68% -1.79% -1.24% -5.02% -1.74% -3.56% -1.49% -4.79% -0.77%
Avg Days to Max Increase   3 6 8 3 7 11 8 14 8 4 2
2012 Contract Condition       Yes   Yes         Yes  
Action       Yes   Yes         Yes  
High 98.56 99.35 100.70 100.86 101.36 100.95 98.04 99.65 101.35 103.59 102.56 101.18
Low 95.69 96.79 99.00 99.10 98.96 96.10 95.45 97.24 98.90 100.59 99.70 99.36
Close/Last 97.80 99.03 100.49 99.69 100.67 96.43 97.97 99.42 101.23 101.49 99.88 100.66

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