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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Eurodollars(CME) as of Sep 10, 2010 |
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 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
13 |
14 |
19 |
17 |
19 |
20 |
20 |
14 |
17 |
14 |
13 |
| Exceeded High |
12 |
13 |
15 |
15 |
19 |
19 |
15 |
12 |
16 |
10 |
7 |
| Scenario Percentage |
92% |
93% |
79% |
88% |
100% |
95% |
75% |
86% |
94% |
71% |
54% |
| Avg Max Increase |
0.87% |
0.73% |
0.76% |
0.82% |
0.81% |
0.63% |
0.66% |
0.84% |
0.40% |
0.25% |
0.18% |
| 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 |
16 |
20 |
14 |
18 |
17 |
13 |
19 |
19 |
15 |
12 |
7 |
| Avg Max Decline |
-0.07% |
-0.17% |
-0.11% |
-0.10% |
-0.20% |
-0.14% |
-0.08% |
-0.15% |
-0.14% |
-0.06% |
-0.03% |
| Max Decline |
-0.24% |
-0.75% |
-0.51% |
-0.29% |
-0.96% |
-0.54% |
-0.23% |
-0.54% |
-0.83% |
-0.16% |
-0.13% |
| Avg Days to Max Decline |
5 |
7 |
8 |
8 |
8 |
5 |
7 |
7 |
8 |
3 |
2 |
| 2010 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
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 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
14 |
14 |
9 |
11 |
8 |
8 |
7 |
13 |
10 |
14 |
15 |
| Penetrated Low |
13 |
10 |
3 |
7 |
4 |
4 |
5 |
8 |
7 |
11 |
14 |
| Scenario Percentage |
93% |
71% |
33% |
64% |
50% |
50% |
71% |
62% |
70% |
79% |
93% |
| Avg Max Decline |
0.73% |
0.36% |
0.34% |
0.44% |
0.77% |
0.64% |
0.51% |
0.32% |
0.38% |
0.24% |
2.00% |
| 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 |
12 |
10 |
17 |
14 |
17 |
18 |
18 |
19 |
10 |
16 |
| Avg Max Increase |
-0.09% |
-0.20% |
-0.16% |
-0.18% |
-0.14% |
-0.11% |
-0.10% |
-0.06% |
-0.06% |
-0.07% |
-0.14% |
| Max Increase |
-0.43% |
-0.64% |
-0.19% |
-0.50% |
-0.37% |
-0.17% |
-0.18% |
-0.14% |
-0.24% |
-0.23% |
-0.57% |
| Avg Days to Max Increase |
5 |
5 |
11 |
9 |
6 |
8 |
4 |
3 |
9 |
5 |
-99 |
| 2010 Contract Condition |
Yes |
|
Yes |
|
|
|
|
|
|
|
|
| Action |
Yes |
|
No |
|
|
|
|
|
|
|
|
| High |
98.740 |
99.095 |
98.950 |
99.120 |
99.295 |
99.430 |
99.500 |
99.680 |
99.655 |
99.725 |
99.740 |
| Low |
98.460 |
98.620 |
98.175 |
98.815 |
98.730 |
99.265 |
99.345 |
99.475 |
99.500 |
99.630 |
99.680 |
| Close/Last |
98.675 |
98.915 |
98.825 |
99.015 |
99.285 |
99.375 |
99.495 |
99.615 |
99.645 |
99.710 |
99.735 |
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