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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Dec 31, 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% 0.26% 0.19%
Max Increase 2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.65% 0.44%
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
2005 Contract Condition       Yes Yes   Yes        
Action       Yes Yes   No        
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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
2005 Contract Condition Yes Yes Yes     Yes   Yes Yes    
Action Yes Yes No     Yes   Yes Not Yet    
High 98.130 97.420 97.135 97.340 97.650 97.660 97.605 97.460 97.250    
Low 97.260 96.910 96.705 97.020 97.235 97.350 97.365 97.085 97.065    
Close/Last 97.325 97.125 97.030 97.240 97.580 97.440 97.470 97.110 97.095