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| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Eurodollars(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
24 |
24 |
24 |
| Closed Higher |
13 |
14 |
18 |
17 |
11 |
15 |
13 |
11 |
9 |
13 |
12 |
| Exceeded High |
12 |
14 |
16 |
13 |
10 |
15 |
8 |
9 |
6 |
11 |
8 |
| Scenario Percentage |
92% |
100% |
89% |
76% |
91% |
100% |
62% |
82% |
67% |
85% |
67% |
| Avg Max Increase |
0.90% |
0.97% |
0.76% |
0.71% |
0.83% |
0.55% |
0.42% |
0.43% |
0.79% |
0.52% |
0.21% |
| Max Increase |
2.01% |
3.61% |
2.75% |
1.62% |
1.91% |
1.11% |
0.85% |
1.41% |
2.24% |
1.69% |
0.40% |
| Avg Days To Max Increase |
17 |
20 |
15 |
18 |
16 |
18 |
15 |
19 |
20 |
13 |
8 |
| Avg Max Decline |
-0.09% |
-0.18% |
-0.13% |
-0.07% |
-0.10% |
-0.20% |
-0.09% |
-0.13% |
-0.12% |
-0.10% |
-0.02% |
| Max Decline |
-0.29% |
-0.55% |
-0.55% |
-0.27% |
-0.47% |
-0.76% |
-0.27% |
-0.42% |
-0.30% |
-0.64% |
-0.15% |
| Avg Days to Max Decline |
6 |
6 |
6 |
4 |
5 |
7 |
4 |
5 |
4 |
3 |
1 |
| 2002 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
23 |
24 |
24 |
24 |
| Closed Lower |
10 |
9 |
5 |
6 |
11 |
8 |
9 |
12 |
15 |
10 |
12 |
| Penetrated Low |
6 |
4 |
3 |
6 |
6 |
7 |
8 |
12 |
9 |
7 |
11 |
| Scenario Percentage |
60% |
44% |
60% |
100% |
55% |
88% |
89% |
100% |
60% |
70% |
92% |
| Avg Max Decline |
0.51% |
0.75% |
0.81% |
0.55% |
0.40% |
0.55% |
0.53% |
0.50% |
0.53% |
0.38% |
2.90% |
| Max Decline |
1.21% |
1.83% |
1.05% |
1.31% |
0.76% |
1.39% |
1.85% |
1.26% |
1.27% |
1.07% |
8.35% |
| Avg Days To Max Decline |
14 |
11 |
24 |
16 |
16 |
15 |
16 |
19 |
14 |
15 |
11 |
| Avg Max Increase |
-0.10% |
-0.09% |
-0.15% |
-0.07% |
-0.10% |
-0.09% |
-0.11% |
-0.08% |
-0.10% |
-0.04% |
-0.13% |
| Max Increase |
-0.27% |
-0.13% |
-0.22% |
-0.20% |
-0.19% |
-0.30% |
-0.29% |
-0.25% |
-0.26% |
-0.11% |
-0.53% |
| Avg Days to Max Increase |
5 |
2 |
9 |
4 |
3 |
10 |
5 |
6 |
5 |
5 |
5 |
| 2002 Contract Condition |
|
|
|
|
Yes |
|
Yes |
|
Yes |
|
|
| Action |
|
|
|
|
No |
|
Yes |
|
No |
|
|
| High |
95.910 |
96.265 |
97.210 |
97.690 |
97.940 |
97.680 |
98.005 |
97.850 |
97.775 |
97.960 |
98.080 |
| Low |
95.110 |
95.690 |
95.950 |
97.080 |
96.900 |
97.115 |
97.500 |
97.510 |
97.375 |
97.455 |
97.930 |
| Close/Last |
95.895 |
96.215 |
97.110 |
97.670 |
97.500 |
97.660 |
97.585 |
97.790 |
97.470 |
97.935 |
98.073 |
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