|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December US Dollar Index(ICE) as of Sep 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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
19 |
19 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Higher |
11 |
9 |
10 |
7 |
11 |
11 |
12 |
7 |
8 |
7 |
10 |
| Exceeded High |
9 |
7 |
9 |
6 |
9 |
11 |
7 |
4 |
8 |
5 |
6 |
| Scenario Percentage |
82% |
78% |
90% |
86% |
82% |
100% |
58% |
57% |
100% |
71% |
60% |
| Avg Max Increase |
2.97% |
2.78% |
3.52% |
3.32% |
2.93% |
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% |
-0.97% |
-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 |
| 2007 Contract Condition |
Yes |
|
|
|
Yes |
|
|
Yes |
|
Yes |
|
| Action |
No |
|
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
19 |
19 |
20 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
21 |
| Closed Lower |
8 |
10 |
10 |
14 |
10 |
10 |
9 |
14 |
13 |
14 |
11 |
| Penetrated Low |
6 |
6 |
10 |
10 |
9 |
9 |
8 |
13 |
12 |
11 |
10 |
| Scenario Percentage |
75% |
60% |
100% |
71% |
90% |
90% |
89% |
93% |
92% |
79% |
91% |
| Avg Max Decline |
3.99% |
4.10% |
3.56% |
3.55% |
3.49% |
3.84% |
2.94% |
3.93% |
4.00% |
3.66% |
4.02% |
| 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 |
15 |
15 |
17 |
18 |
14 |
16 |
20 |
10 |
11 |
| Avg Max Increase |
-0.66% |
-1.48% |
-1.05% |
-0.35% |
-0.51% |
-0.36% |
-1.11% |
-0.63% |
-1.05% |
-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 |
7 |
5 |
4 |
5 |
12 |
6 |
12 |
6 |
2 |
| 2007 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
|
|
| Action |
|
Yes |
Yes |
No |
|
Yes |
Yes |
|
Not Yet |
|
|
| High |
84.360 |
84.170 |
83.330 |
82.430 |
81.870 |
82.700 |
81.290 |
81.865 |
80.880 |
77.940 |
|
| Low |
82.930 |
82.520 |
82.010 |
80.770 |
80.850 |
81.360 |
79.730 |
79.765 |
77.580 |
77.670 |
|
| Close/Last |
83.640 |
82.640 |
82.180 |
80.820 |
81.750 |
81.470 |
80.460 |
80.740 |
77.625 |
77.810 |
|
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