|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March US Dollar Index(ICE) 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
19 |
19 |
20 |
22 |
22 |
22 |
22 |
22 |
23 |
23 |
23 |
| Closed Higher |
7 |
9 |
10 |
12 |
9 |
8 |
8 |
10 |
9 |
13 |
10 |
| Exceeded High |
6 |
8 |
10 |
8 |
4 |
8 |
5 |
8 |
8 |
9 |
8 |
| Scenario Percentage |
86% |
89% |
100% |
67% |
44% |
100% |
63% |
80% |
89% |
69% |
80% |
| Avg Max Increase |
3.37% |
2.46% |
2.81% |
2.10% |
2.96% |
3.43% |
3.18% |
3.19% |
3.35% |
2.83% |
2.11% |
| Max Increase |
7.67% |
8.24% |
6.47% |
6.76% |
5.93% |
10.57% |
5.20% |
6.61% |
8.96% |
4.71% |
4.33% |
| Avg Days To Max Increase |
20 |
11 |
12 |
14 |
18 |
19 |
20 |
18 |
12 |
8 |
10 |
| Avg Max Decline |
-0.75% |
-0.80% |
-0.29% |
-0.55% |
-0.73% |
-0.66% |
-0.58% |
-1.19% |
-0.81% |
-1.37% |
-0.38% |
| Max Decline |
-1.59% |
-1.69% |
-0.88% |
-1.29% |
-1.37% |
-2.25% |
-1.22% |
-2.70% |
-3.29% |
-3.03% |
-1.06% |
| Avg Days to Max Decline |
6 |
7 |
7 |
4 |
6 |
6 |
11 |
16 |
6 |
8 |
3 |
| 2008 Contract Condition |
|
Yes |
|
|
Yes |
|
|
|
Yes |
|
|
| Action |
|
Yes |
|
|
No |
|
|
|
No |
|
|
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 |
19 |
19 |
20 |
22 |
22 |
22 |
22 |
22 |
23 |
23 |
23 |
| Closed Lower |
12 |
10 |
10 |
10 |
13 |
14 |
14 |
12 |
14 |
10 |
12 |
| Penetrated Low |
9 |
7 |
9 |
9 |
12 |
13 |
10 |
10 |
10 |
7 |
8 |
| Scenario Percentage |
75% |
70% |
90% |
90% |
92% |
93% |
71% |
83% |
71% |
70% |
67% |
| Avg Max Decline |
3.51% |
4.25% |
3.63% |
2.78% |
3.58% |
3.80% |
4.79% |
4.67% |
3.42% |
3.96% |
5.32% |
| Max Decline |
7.95% |
7.52% |
7.14% |
4.83% |
8.06% |
7.93% |
9.26% |
8.53% |
8.15% |
7.30% |
13.60% |
| Avg Days To Max Decline |
15 |
21 |
18 |
16 |
15 |
22 |
21 |
17 |
14 |
12 |
15 |
| Avg Max Increase |
-0.03% |
-0.55% |
-0.29% |
-1.19% |
-0.47% |
-1.00% |
-0.37% |
-0.81% |
-1.00% |
-1.11% |
-0.55% |
| Max Increase |
-1.28% |
-1.04% |
-1.52% |
-3.45% |
-2.76% |
-3.21% |
-1.50% |
-2.09% |
-1.68% |
-2.54% |
-1.21% |
| Avg Days to Max Increase |
3 |
6 |
5 |
12 |
6 |
11 |
5 |
4 |
5 |
5 |
3 |
| 2008 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
No |
|
Yes |
Yes |
|
Yes |
Yes |
No |
|
Yes |
Yes |
| High |
82.200 |
81.650 |
82.460 |
81.500 |
81.725 |
80.470 |
78.620 |
76.740 |
77.880 |
77.490 |
77.195 |
| Low |
80.540 |
80.610 |
81.150 |
79.540 |
79.690 |
77.555 |
76.420 |
74.760 |
75.625 |
75.100 |
73.630 |
| Close/Last |
80.590 |
81.510 |
81.260 |
80.290 |
80.455 |
77.555 |
76.420 |
76.160 |
76.700 |
75.285 |
73.750 |
|
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