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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of May 27, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 21 22 22 22 22 22 22 22 22 22 22
Closed Higher 12 12 17 12 13 17 16 10 14 12 11
Exceeded High 11 11 13 10 13 16 12 8 13 8 6
Scenario Percentage 92% 92% 76% 83% 100% 94% 75% 80% 93% 67% 55%
Avg Max Increase 0.92% 0.82% 0.77% 0.96% 1.03% 0.70% 0.67% 0.90% 0.46% 0.27% 0.20%
Max Increase 2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.73% 0.53%
Avg Days To Max Increase 17 22 13 19 17 13 17 21 15 13 8
Avg Max Decline -0.06% -0.14% -0.10% -0.08% -0.17% -0.14% -0.09% -0.15% -0.16% -0.05% -0.04%
Max Decline -0.24% -0.63% -0.51% -0.23% -0.60% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline 5 7 7 8 5 5 9 6 9 3 2
2004 Contract Condition Yes Yes Yes   Yes Yes     Yes Yes Yes
Action Yes Yes No   Yes Yes     Yes Yes Yes
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 21 22 22 22 22 22 22 22 22 22 22
Closed Lower 9 10 5 10 8 5 5 11 7 10 11
Penetrated Low 8 6 2 6 4 2 4 7 5 8 10
Scenario Percentage 89% 60% 40% 60% 50% 40% 80% 64% 71% 80% 91%
Avg Max Decline 0.77% 0.32% 0.24% 0.48% 0.77% 0.95% 0.60% 0.35% 0.50% 0.28% 2.19%
Max Decline 2.28% 0.94% 0.39% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 6.11%
Avg Days To Max Decline 15 14 10 14 14 22 22 16 15 10 17
Avg Max Increase -0.06% -0.26% -0.18% -0.12% -0.14% -0.11% -0.11% -0.05% -0.06% -0.07% -0.16%
Max Increase -0.17% -0.64% -0.19% -0.33% -0.37% -0.13% -0.18% -0.14% -0.24% -0.23% -0.57%
Avg Days to Max Increase 4 8 13 5 6 7 5 3 10 5 -140
2004 Contract Condition       Yes     Yes Yes      
Action       Yes     No No      
High 98.535 98.815 99.015 98.820 98.595 98.840 98.865 98.740 98.785 98.850 98.870
Low 98.140 98.425 98.660 98.390 98.300 98.410 98.515 98.530 98.575 98.750 98.820
Close/Last 98.530 98.750 98.765 98.460 98.495 98.835 98.655 98.620 98.775 98.820 98.868