|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Eurodollars(CME) as of Jul 31, 2006 |
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 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
| Closed Higher |
13 |
15 |
18 |
17 |
11 |
16 |
13 |
11 |
9 |
14 |
12 |
| Exceeded High |
12 |
15 |
16 |
13 |
10 |
16 |
8 |
9 |
6 |
11 |
8 |
| Scenario Percentage |
92% |
100% |
89% |
76% |
91% |
100% |
62% |
82% |
67% |
79% |
67% |
| Avg Max Increase |
0.90% |
0.92% |
0.76% |
0.71% |
0.83% |
0.52% |
0.42% |
0.43% |
0.79% |
0.53% |
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 |
19 |
15 |
18 |
16 |
17 |
15 |
19 |
20 |
13 |
9 |
| Avg Max Decline |
-0.09% |
-0.17% |
-0.13% |
-0.07% |
-0.10% |
-0.19% |
-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 |
| 2006 Contract Condition |
|
Yes |
|
|
|
Yes |
|
|
|
Yes |
|
| Action |
|
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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
| Tested Years |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
| Closed Lower |
11 |
9 |
6 |
7 |
12 |
8 |
10 |
13 |
16 |
10 |
13 |
| Penetrated Low |
7 |
4 |
4 |
7 |
6 |
7 |
9 |
13 |
10 |
7 |
12 |
| Scenario Percentage |
64% |
44% |
67% |
100% |
50% |
88% |
90% |
100% |
63% |
70% |
92% |
| Avg Max Decline |
0.46% |
0.75% |
0.71% |
0.49% |
0.40% |
0.55% |
0.50% |
0.48% |
0.49% |
0.38% |
2.66% |
| 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 |
17 |
11 |
19 |
15 |
16 |
15 |
18 |
20 |
16 |
15 |
11 |
| Avg Max Increase |
-0.16% |
-0.09% |
-0.12% |
-0.06% |
-0.10% |
-0.09% |
-0.10% |
-0.08% |
-0.09% |
-0.04% |
-0.13% |
| Max Increase |
-0.48% |
-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 |
9 |
2 |
8 |
4 |
3 |
10 |
4 |
6 |
7 |
5 |
5 |
| 2006 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
Yes |
|
Yes |
Yes |
No |
|
Yes |
Yes |
Yes |
|
Yes |
| High |
95.980 |
95.865 |
96.030 |
95.440 |
95.290 |
95.220 |
95.290 |
95.060 |
94.985 |
94.820 |
94.805 |
| Low |
95.565 |
95.405 |
95.385 |
95.155 |
95.025 |
95.045 |
95.065 |
94.870 |
94.780 |
94.680 |
94.675 |
| Close/Last |
95.570 |
95.860 |
95.395 |
95.175 |
95.115 |
95.155 |
95.075 |
94.930 |
94.795 |
94.810 |
94.683 |
|
|