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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar 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% 0.83% 0.82% 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 17 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 6 8 5 7 7 8 6 2
2010 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes Yes
Action     Yes   Yes Yes Yes Yes Yes Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar 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 11
Scenario Percentage   93% 71% 33% 64% 50% 50% 71% 62% 70% 79% 73%
Avg Max Decline   0.73% 0.36% 0.34% 0.44% 0.77% 0.64% 0.51% 0.32% 0.38% 0.24% 0.14%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.28%
Avg Days To Max Decline   15 12 10 17 14 17 18 18 19 10 8
Avg Max Increase   -0.09% -0.20% -0.16% -0.18% -0.14% -0.11% -0.10% -0.06% -0.06% -0.07% -0.03%
Max Increase   -0.43% -0.64% -0.19% -0.50% -0.37% -0.17% -0.18% -0.14% -0.24% -0.23% -0.10%
Avg Days to Max Increase   5 5 11 9 6 8 4 3 9 5 2
2010 Contract Condition   Yes   Yes                
Action   Yes   No                
High 98.715 98.740 99.095 98.950 99.120 99.295 99.430 99.500 99.680 99.655 99.725 99.740
Low 98.190 98.460 98.620 98.175 98.815 98.730 99.265 99.345 99.475 99.500 99.630 99.680
Close/Last 98.700 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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