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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June US Dollar Index(NYBOT) as of Feb 28, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
19 |
20 |
20 |
20 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
10 |
8 |
7 |
8 |
10 |
7 |
12 |
9 |
11 |
7 |
11 |
| Exceeded High |
6 |
4 |
7 |
6 |
8 |
7 |
10 |
8 |
10 |
6 |
9 |
| Scenario Percentage |
60% |
50% |
100% |
75% |
80% |
100% |
83% |
89% |
91% |
86% |
82% |
| Avg Max Increase |
2.43% |
2.83% |
3.44% |
2.55% |
3.09% |
3.42% |
3.01% |
4.10% |
3.63% |
2.87% |
1.63% |
| Max Increase |
6.70% |
5.64% |
10.46% |
5.33% |
6.34% |
8.79% |
6.44% |
11.75% |
7.13% |
5.84% |
3.39% |
| Avg Days To Max Increase |
15 |
18 |
16 |
19 |
18 |
11 |
18 |
19 |
21 |
16 |
10 |
| Avg Max Decline |
-0.52% |
-0.73% |
-0.73% |
-0.38% |
-1.07% |
-0.68% |
-1.44% |
-0.62% |
-1.28% |
-0.92% |
-0.68% |
| Max Decline |
-1.21% |
-1.38% |
-2.35% |
-1.22% |
-2.70% |
-3.15% |
-2.98% |
-1.04% |
-3.17% |
-1.69% |
-2.01% |
| Avg Days to Max Decline |
3 |
6 |
6 |
10 |
13 |
6 |
8 |
12 |
13 |
6 |
4 |
| 2007 Contract Condition |
Yes |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
| Action |
No |
|
Yes |
|
|
Yes |
Not Yet |
|
|
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
19 |
20 |
20 |
20 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
9 |
12 |
13 |
12 |
10 |
14 |
9 |
12 |
10 |
14 |
10 |
| Penetrated Low |
8 |
11 |
12 |
8 |
9 |
11 |
7 |
8 |
10 |
10 |
6 |
| Scenario Percentage |
89% |
92% |
92% |
67% |
90% |
79% |
78% |
67% |
100% |
71% |
60% |
| Avg Max Decline |
2.62% |
3.67% |
3.69% |
5.24% |
4.97% |
3.04% |
3.92% |
3.81% |
3.79% |
2.71% |
5.33% |
| Max Decline |
4.87% |
7.73% |
7.97% |
9.26% |
8.25% |
8.05% |
7.19% |
6.88% |
7.18% |
5.48% |
13.37% |
| Avg Days To Max Decline |
18 |
18 |
23 |
23 |
18 |
13 |
20 |
22 |
13 |
9 |
20 |
| Avg Max Increase |
-1.06% |
-0.56% |
-0.93% |
-0.09% |
-0.64% |
-0.72% |
-0.80% |
-1.54% |
-1.28% |
-0.44% |
-0.73% |
| Max Increase |
-3.62% |
-2.94% |
-2.98% |
-1.30% |
-2.19% |
-1.55% |
-1.48% |
-5.46% |
-3.06% |
-1.71% |
-1.51% |
| Avg Days to Max Increase |
12 |
6 |
11 |
7 |
4 |
5 |
5 |
10 |
6 |
3 |
3 |
| 2007 Contract Condition |
|
Yes |
|
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
|
No |
|
Yes |
Yes |
|
|
Not Yet |
|
|
|
| High |
85.670 |
84.410 |
85.110 |
86.320 |
84.960 |
83.570 |
84.920 |
84.750 |
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|
| Low |
83.580 |
83.320 |
83.840 |
84.510 |
82.240 |
81.790 |
83.400 |
83.000 |
|
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|
| Close/Last |
84.030 |
83.970 |
85.110 |
84.510 |
82.240 |
83.180 |
84.160 |
83.200 |
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