|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December US Dollar Index(ICE) as of Apr 04, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
20 |
20 |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Higher |
12 |
9 |
10 |
7 |
12 |
11 |
12 |
8 |
8 |
7 |
10 |
| Exceeded High |
9 |
7 |
9 |
6 |
10 |
11 |
7 |
4 |
8 |
5 |
6 |
| Scenario Percentage |
75% |
78% |
90% |
86% |
83% |
100% |
58% |
50% |
100% |
71% |
60% |
| Avg Max Increase |
2.97% |
2.78% |
3.52% |
3.32% |
2.75% |
2.82% |
2.62% |
3.04% |
3.53% |
2.87% |
0.89% |
| Max Increase |
6.39% |
5.08% |
6.68% |
7.15% |
8.36% |
6.64% |
6.82% |
5.86% |
10.71% |
4.08% |
1.63% |
| Avg Days To Max Increase |
21 |
18 |
19 |
20 |
10 |
14 |
15 |
18 |
18 |
13 |
6 |
| Avg Max Decline |
-1.33% |
-0.46% |
-0.78% |
-0.89% |
-0.92% |
-0.34% |
-0.61% |
-0.84% |
-0.78% |
-0.61% |
-0.33% |
| Max Decline |
-2.60% |
-1.05% |
-2.76% |
-1.59% |
-2.17% |
-0.91% |
-1.43% |
-1.52% |
-2.13% |
-1.13% |
-1.05% |
| Avg Days to Max Decline |
9 |
12 |
12 |
6 |
7 |
6 |
5 |
6 |
4 |
3 |
2 |
| 2006 Contract Condition |
|
Yes |
|
|
|
Yes |
Yes |
|
Yes |
|
|
| Action |
|
Yes |
|
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
20 |
20 |
21 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
22 |
| Closed Lower |
8 |
11 |
11 |
15 |
10 |
11 |
10 |
14 |
14 |
15 |
12 |
| Penetrated Low |
6 |
7 |
11 |
10 |
9 |
10 |
9 |
13 |
13 |
12 |
10 |
| Scenario Percentage |
75% |
64% |
100% |
67% |
90% |
91% |
90% |
93% |
93% |
80% |
83% |
| Avg Max Decline |
3.99% |
3.84% |
3.39% |
3.55% |
3.49% |
3.67% |
3.01% |
3.93% |
3.98% |
3.57% |
4.04% |
| Max Decline |
6.90% |
6.29% |
6.77% |
8.27% |
7.61% |
7.14% |
5.00% |
9.15% |
7.85% |
6.04% |
19.07% |
| Avg Days To Max Decline |
18 |
26 |
16 |
15 |
17 |
19 |
16 |
16 |
20 |
12 |
12 |
| Avg Max Increase |
-0.66% |
-1.38% |
-0.98% |
-0.35% |
-0.51% |
-0.30% |
-1.18% |
-0.63% |
-1.08% |
-0.51% |
-0.46% |
| Max Increase |
-1.32% |
-4.94% |
-2.95% |
-1.44% |
-1.28% |
-1.50% |
-3.33% |
-2.41% |
-3.06% |
-1.55% |
-1.85% |
| Avg Days to Max Increase |
6 |
12 |
6 |
5 |
4 |
5 |
13 |
6 |
11 |
6 |
2 |
| 2006 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
|
Yes |
|
Yes |
Yes |
| Action |
No |
|
Yes |
Yes |
Yes |
|
|
No |
|
Yes |
Yes |
| High |
88.710 |
89.740 |
89.780 |
89.250 |
85.250 |
86.130 |
86.640 |
85.160 |
85.940 |
87.080 |
85.770 |
| Low |
86.880 |
88.180 |
87.840 |
85.190 |
83.140 |
83.100 |
84.150 |
83.850 |
84.480 |
84.980 |
82.700 |
| Close/Last |
87.920 |
88.980 |
88.700 |
85.190 |
84.000 |
84.530 |
84.720 |
84.660 |
85.680 |
85.110 |
82.850 |
|
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