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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March US Dollar Index(NYBOT) as of Nov 30, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
18 |
18 |
18 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
21 |
| Closed Higher |
7 |
10 |
9 |
11 |
8 |
7 |
8 |
10 |
7 |
12 |
10 |
| Exceeded High |
6 |
8 |
9 |
7 |
4 |
7 |
5 |
8 |
7 |
9 |
8 |
| Scenario Percentage |
86% |
80% |
100% |
64% |
50% |
100% |
63% |
80% |
100% |
75% |
80% |
| Avg Max Increase |
3.25% |
2.64% |
2.86% |
2.37% |
2.96% |
3.86% |
3.18% |
3.19% |
3.52% |
2.83% |
2.29% |
| Max Increase |
7.03% |
8.24% |
6.47% |
6.76% |
5.93% |
10.57% |
5.20% |
6.61% |
8.96% |
4.71% |
5.75% |
| Avg Days To Max Increase |
20 |
10 |
15 |
16 |
18 |
20 |
20 |
18 |
10 |
8 |
10 |
| Avg Max Decline |
-0.87% |
-1.00% |
-0.16% |
-0.21% |
-0.58% |
-0.47% |
-0.52% |
-1.19% |
-0.83% |
-1.36% |
-0.37% |
| Max Decline |
-1.59% |
-1.97% |
-0.83% |
-1.22% |
-1.11% |
-2.25% |
-1.22% |
-2.70% |
-3.29% |
-3.03% |
-1.06% |
| Avg Days to Max Decline |
6 |
7 |
7 |
5 |
5 |
6 |
12 |
16 |
6 |
8 |
3 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
|
|
|
|
|
| Action |
|
|
Yes |
No |
|
Yes |
|
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
18 |
18 |
18 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
21 |
| Closed Lower |
11 |
8 |
9 |
9 |
12 |
13 |
12 |
10 |
14 |
9 |
10 |
| Penetrated Low |
8 |
6 |
8 |
8 |
12 |
12 |
8 |
9 |
10 |
6 |
6 |
| Scenario Percentage |
73% |
75% |
89% |
89% |
100% |
92% |
67% |
90% |
71% |
67% |
60% |
| Avg Max Decline |
3.71% |
4.30% |
3.15% |
2.66% |
3.55% |
3.80% |
5.29% |
5.11% |
3.41% |
3.80% |
6.14% |
| Max Decline |
7.70% |
7.07% |
6.03% |
4.69% |
8.06% |
7.93% |
9.26% |
8.53% |
8.15% |
7.30% |
13.60% |
| Avg Days To Max Decline |
15 |
16 |
16 |
14 |
15 |
21 |
22 |
19 |
14 |
11 |
14 |
| Avg Max Increase |
-0.11% |
-0.50% |
-0.35% |
-0.93% |
-0.33% |
-0.91% |
-0.30% |
-0.86% |
-1.00% |
-0.87% |
-0.62% |
| Max Increase |
-1.28% |
-1.19% |
-1.52% |
-3.45% |
-2.76% |
-3.21% |
-1.50% |
-2.09% |
-1.68% |
-1.53% |
-1.21% |
| Avg Days to Max Increase |
7 |
5 |
5 |
12 |
6 |
11 |
6 |
4 |
5 |
5 |
3 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
|
|
|
| Action |
Yes |
No |
|
|
No |
|
Yes |
Not Yet |
|
|
|
| High |
88.41 |
84.76 |
85.73 |
86.01 |
84.75 |
85.50 |
86.78 |
85.37 |
|
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|
| Low |
84.86 |
82.75 |
83.01 |
83.92 |
83.60 |
84.18 |
84.70 |
82.40 |
|
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|
| Close/Last |
84.86 |
83.70 |
84.18 |
84.37 |
84.31 |
85.39 |
84.80 |
82.54 |
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