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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Jul 01, 2004
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 22 22 22 22 22 22 22 22 23 23 23
Closed Higher 12 13 18 16 11 15 13 11 9 12 11
Exceeded High 11 13 16 13 10 15 8 9 6 11 8
Scenario Percentage 92% 100% 89% 81% 91% 100% 62% 82% 67% 92% 73%
Avg Max Increase 0.93% 1.04% 0.76% 0.71% 0.83% 0.55% 0.42% 0.43% 0.79% 0.52% 0.20%
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 18 20 15 18 16 18 15 19 20 12 8
Avg Max Decline -0.09% -0.17% -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 5 6 4 5 7 4 5 4 3 1
2004 Contract Condition     Yes     Yes Yes Yes Yes    
Action     Yes     Yes Yes Yes No    
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 22 22 22 22 22 22 22 22 23 23 23
Closed Lower 10 9 4 6 10 7 8 11 14 10 12
Penetrated Low 6 4 2 6 5 6 7 11 9 7 11
Scenario Percentage 60% 44% 50% 100% 50% 86% 88% 100% 64% 70% 92%
Avg Max Decline 0.51% 0.75% 1.00% 0.55% 0.44% 0.59% 0.55% 0.53% 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 22 16 15 13 15 19 14 15 11
Avg Max Increase -0.10% -0.09% -0.11% -0.07% -0.09% -0.09% -0.12% -0.09% -0.10% -0.04% -0.13%
Max Increase -0.27% -0.13% -0.13% -0.20% -0.19% -0.30% -0.29% -0.25% -0.26% -0.11% -0.53%
Avg Days to Max Increase 5 2 7 4 3 11 5 6 5 5 5
2004 Contract Condition Yes Yes   Yes Yes         Yes Yes
Action Yes No   Yes No         Yes Yes
High 98.660 98.290 98.685 98.705 98.480 98.605 98.755 98.790 98.850 98.835 98.700
Low 98.020 97.860 97.960 98.135 98.120 98.180 98.460 98.560 98.710 98.645 98.495
Close/Last 98.100 98.080 98.670 98.350 98.255 98.570 98.640 98.770 98.830 98.670 98.568