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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Eurodollars(CME) as of Nov 30, 2006 |
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 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
13 |
13 |
17 |
13 |
15 |
17 |
17 |
10 |
15 |
12 |
11 |
| Exceeded High |
12 |
12 |
13 |
11 |
15 |
16 |
12 |
8 |
14 |
8 |
7 |
| Scenario Percentage |
92% |
92% |
76% |
85% |
100% |
94% |
71% |
80% |
93% |
67% |
64% |
| Avg Max Increase |
0.87% |
0.77% |
0.77% |
0.91% |
0.91% |
0.70% |
0.67% |
0.90% |
0.43% |
0.28% |
0.20% |
| Max Increase |
2.51% |
1.65% |
2.42% |
2.18% |
4.13% |
3.01% |
1.74% |
1.83% |
1.05% |
0.79% |
0.58% |
| Avg Days To Max Increase |
16 |
20 |
13 |
18 |
16 |
13 |
17 |
21 |
14 |
12 |
9 |
| Avg Max Decline |
-0.07% |
-0.12% |
-0.10% |
-0.08% |
-0.17% |
-0.14% |
-0.09% |
-0.15% |
-0.15% |
-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 |
3 |
| 2007 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
Yes |
|
|
|
| Action |
|
|
|
Yes |
Yes |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
10 |
11 |
7 |
11 |
8 |
7 |
6 |
13 |
8 |
12 |
13 |
| Penetrated Low |
9 |
7 |
3 |
7 |
4 |
4 |
5 |
8 |
6 |
10 |
12 |
| Scenario Percentage |
90% |
64% |
43% |
64% |
50% |
57% |
83% |
62% |
75% |
83% |
92% |
| Avg Max Decline |
0.75% |
0.34% |
0.34% |
0.44% |
0.77% |
0.64% |
0.51% |
0.32% |
0.43% |
0.24% |
1.83% |
| Max Decline |
2.28% |
0.94% |
0.54% |
1.20% |
1.94% |
1.18% |
1.12% |
0.73% |
1.10% |
0.93% |
6.11% |
| Avg Days To Max Decline |
15 |
14 |
10 |
17 |
14 |
17 |
18 |
18 |
17 |
9 |
15 |
| Avg Max Increase |
-0.06% |
-0.22% |
-0.12% |
-0.17% |
-0.14% |
-0.11% |
-0.09% |
-0.06% |
-0.05% |
-0.06% |
-0.14% |
| Max Increase |
-0.17% |
-0.64% |
-0.19% |
-0.45% |
-0.37% |
-0.17% |
-0.18% |
-0.14% |
-0.24% |
-0.23% |
-0.57% |
| Avg Days to Max Increase |
4 |
7 |
11 |
9 |
6 |
8 |
4 |
3 |
9 |
5 |
-117 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
|
|
|
| Action |
Yes |
Yes |
Yes |
|
|
|
Not Yet |
|
|
|
|
| High |
94.865 |
94.780 |
94.760 |
94.640 |
94.790 |
94.895 |
94.915 |
94.850 |
|
|
|
| Low |
94.630 |
94.590 |
94.310 |
94.305 |
94.540 |
94.635 |
94.615 |
94.670 |
|
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|
| Close/Last |
94.790 |
94.610 |
94.440 |
94.640 |
94.785 |
94.825 |
94.780 |
94.810 |
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