|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
21 |
21 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Higher |
8 |
10 |
10 |
13 |
9 |
11 |
8 |
13 |
11 |
13 |
9 |
| Exceeded High |
6 |
8 |
8 |
10 |
8 |
10 |
7 |
11 |
11 |
9 |
5 |
| Scenario Percentage |
75% |
80% |
80% |
77% |
89% |
91% |
88% |
85% |
100% |
69% |
56% |
| Avg Max Increase |
2.53% |
3.02% |
3.45% |
2.84% |
3.98% |
3.56% |
3.36% |
2.84% |
2.92% |
3.06% |
2.30% |
| Max Increase |
5.41% |
6.14% |
8.79% |
6.46% |
11.65% |
6.91% |
7.43% |
8.42% |
6.58% |
9.50% |
3.74% |
| Avg Days To Max Increase |
17 |
19 |
13 |
21 |
21 |
21 |
21 |
10 |
11 |
12 |
12 |
| Avg Max Decline |
-0.40% |
-0.94% |
-0.60% |
-1.34% |
-0.42% |
-1.12% |
-0.94% |
-1.05% |
-0.51% |
-0.68% |
-0.44% |
| Max Decline |
-1.29% |
-2.09% |
-3.13% |
-2.62% |
-0.88% |
-3.11% |
-1.58% |
-1.98% |
-1.20% |
-1.51% |
-1.37% |
| Avg Days to Max Decline |
10 |
14 |
5 |
8 |
14 |
12 |
8 |
7 |
6 |
4 |
2 |
| 2008 Contract Condition |
|
|
Yes |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
No |
|
|
|
Yes |
Yes |
|
Yes |
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 |
21 |
21 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Lower |
13 |
11 |
13 |
10 |
14 |
12 |
15 |
10 |
12 |
10 |
14 |
| Penetrated Low |
9 |
9 |
10 |
8 |
10 |
11 |
10 |
8 |
11 |
9 |
11 |
| Scenario Percentage |
69% |
82% |
77% |
80% |
71% |
92% |
67% |
80% |
92% |
90% |
79% |
| Avg Max Decline |
4.31% |
4.09% |
3.00% |
4.04% |
3.60% |
3.62% |
3.69% |
3.98% |
3.56% |
2.44% |
5.53% |
| 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 |
22 |
17 |
14 |
17 |
21 |
15 |
15 |
18 |
16 |
9 |
12 |
| Avg Max Increase |
-0.19% |
-0.59% |
-0.68% |
-0.83% |
-1.23% |
-1.04% |
-0.49% |
-0.70% |
-0.59% |
-1.02% |
-0.50% |
| Max Increase |
-1.30% |
-1.90% |
-1.40% |
-2.47% |
-5.25% |
-3.06% |
-1.72% |
-1.60% |
-1.67% |
-3.11% |
-2.35% |
| Avg Days to Max Increase |
5 |
4 |
5 |
5 |
9 |
6 |
3 |
4 |
5 |
6 |
-62 |
| 2008 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
| Action |
Yes |
No |
|
Yes |
Yes |
No |
|
|
Yes |
|
|
| High |
78.440 |
76.520 |
77.970 |
77.125 |
77.710 |
74.505 |
73.655 |
74.405 |
74.750 |
73.735 |
77.710 |
| Low |
76.420 |
74.900 |
75.835 |
75.690 |
74.365 |
71.760 |
71.830 |
72.330 |
72.350 |
71.555 |
73.365 |
| Close/Last |
76.420 |
76.250 |
76.880 |
75.835 |
74.380 |
72.600 |
73.120 |
73.340 |
72.800 |
73.420 |
77.500 |
|
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