|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September US Dollar Index(NYBOT) as of Jun 30, 2007 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
19 |
19 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
8 |
10 |
8 |
12 |
9 |
11 |
7 |
11 |
11 |
12 |
7 |
| Exceeded High |
6 |
8 |
7 |
10 |
8 |
10 |
6 |
9 |
11 |
8 |
4 |
| Scenario Percentage |
75% |
80% |
88% |
83% |
89% |
91% |
86% |
82% |
100% |
67% |
57% |
| Avg Max Increase |
2.53% |
3.02% |
3.49% |
2.84% |
3.98% |
3.56% |
3.54% |
3.12% |
2.92% |
2.29% |
2.13% |
| Max Increase |
5.41% |
6.14% |
8.79% |
6.46% |
11.65% |
6.91% |
7.43% |
8.42% |
6.58% |
6.04% |
3.03% |
| Avg Days To Max Increase |
17 |
19 |
13 |
21 |
21 |
21 |
23 |
10 |
11 |
13 |
14 |
| Avg Max Decline |
-0.40% |
-0.94% |
-0.73% |
-1.34% |
-0.42% |
-1.12% |
-0.91% |
-1.09% |
-0.51% |
-0.75% |
-0.85% |
| Max Decline |
-1.29% |
-2.09% |
-3.13% |
-2.62% |
-0.88% |
-3.11% |
-1.58% |
-1.98% |
-1.20% |
-1.51% |
-1.50% |
| Avg Days to Max Decline |
10 |
14 |
6 |
8 |
14 |
12 |
6 |
7 |
6 |
4 |
6 |
| 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
19 |
19 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
11 |
9 |
13 |
9 |
12 |
10 |
14 |
10 |
10 |
9 |
14 |
| Penetrated Low |
7 |
8 |
10 |
7 |
8 |
10 |
10 |
8 |
9 |
8 |
11 |
| Scenario Percentage |
64% |
89% |
77% |
78% |
67% |
100% |
71% |
80% |
90% |
89% |
79% |
| Avg Max Decline |
4.79% |
4.53% |
3.00% |
3.85% |
3.76% |
3.80% |
3.69% |
3.98% |
3.91% |
2.56% |
5.58% |
| Max Decline |
9.09% |
7.55% |
7.67% |
6.83% |
6.82% |
7.14% |
8.54% |
8.15% |
7.14% |
5.04% |
14.75% |
| Avg Days To Max Decline |
24 |
19 |
14 |
17 |
21 |
14 |
15 |
18 |
18 |
9 |
13 |
| Avg Max Increase |
-0.08% |
-0.71% |
-0.68% |
-0.59% |
-1.37% |
-1.12% |
-0.49% |
-0.70% |
-0.56% |
-0.97% |
-0.50% |
| Max Increase |
-1.30% |
-1.90% |
-1.40% |
-1.33% |
-5.25% |
-3.06% |
-1.72% |
-1.60% |
-1.67% |
-3.11% |
-2.35% |
| Avg Days to Max Increase |
7 |
4 |
5 |
5 |
10 |
7 |
3 |
4 |
5 |
4 |
-62 |
| 2007 Contract Condition |
Yes |
Yes |
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
Yes |
Yes |
|
|
Yes |
Yes |
No |
|
Not Yet |
|
|
| High |
86.050 |
85.050 |
83.320 |
85.590 |
84.440 |
83.880 |
82.670 |
82.210 |
83.010 |
|
|
| Low |
84.230 |
81.950 |
81.500 |
83.180 |
82.800 |
82.250 |
80.900 |
81.190 |
81.370 |
|
|
| Close/Last |
84.230 |
81.950 |
82.930 |
83.900 |
82.920 |
82.420 |
81.060 |
82.000 |
81.690 |
|
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