|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for June Eurodollars(CME) as of Sep 09, 2010 |
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 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
29 |
29 |
29 |
| Closed Higher |
17 |
19 |
22 |
19 |
15 |
17 |
15 |
13 |
11 |
15 |
13 |
| Exceeded High |
16 |
19 |
20 |
15 |
14 |
17 |
10 |
11 |
7 |
12 |
8 |
| Scenario Percentage |
94% |
100% |
91% |
79% |
93% |
100% |
67% |
85% |
64% |
80% |
62% |
| Avg Max Increase |
0.84% |
0.84% |
0.75% |
0.73% |
0.82% |
0.51% |
0.42% |
0.36% |
0.75% |
0.51% |
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 |
18 |
16 |
19 |
16 |
17 |
13 |
16 |
20 |
13 |
8 |
| Avg Max Decline |
-0.12% |
-0.23% |
-0.12% |
-0.07% |
-0.12% |
-0.18% |
-0.11% |
-0.11% |
-0.11% |
-0.09% |
-0.02% |
| Max Decline |
-0.40% |
-1.49% |
-0.55% |
-0.27% |
-0.47% |
-0.76% |
-0.27% |
-0.42% |
-0.30% |
-0.64% |
-0.15% |
| Avg Days to Max Decline |
7 |
8 |
7 |
4 |
7 |
7 |
7 |
4 |
4 |
2 |
1 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| Action |
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 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
29 |
29 |
29 |
| Closed Lower |
11 |
9 |
6 |
9 |
12 |
11 |
12 |
15 |
18 |
13 |
16 |
| Penetrated Low |
7 |
4 |
4 |
7 |
6 |
8 |
10 |
15 |
12 |
9 |
15 |
| Scenario Percentage |
64% |
44% |
67% |
78% |
50% |
73% |
83% |
100% |
67% |
69% |
94% |
| Avg Max Decline |
0.46% |
0.75% |
0.71% |
0.50% |
0.40% |
0.50% |
0.48% |
0.47% |
0.46% |
0.34% |
2.57% |
| 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 |
17 |
17 |
19 |
16 |
12 |
11 |
| Avg Max Increase |
-0.16% |
-0.09% |
-0.12% |
-0.06% |
-0.10% |
-0.10% |
-0.11% |
-0.13% |
-0.08% |
-0.04% |
-0.11% |
| Max Increase |
-0.51% |
-0.13% |
-0.22% |
-0.20% |
-0.19% |
-0.30% |
-0.29% |
-0.80% |
-0.26% |
-0.11% |
-0.53% |
| Avg Days to Max Increase |
9 |
2 |
8 |
4 |
3 |
10 |
5 |
7 |
7 |
4 |
5 |
| 2010 Contract Condition |
|
|
|
|
|
Yes |
|
|
Yes |
Yes |
Yes |
| Action |
|
|
|
|
|
No |
|
|
Yes |
Yes |
Yes |
| High |
98.840 |
98.915 |
99.105 |
99.205 |
99.535 |
99.510 |
99.615 |
99.655 |
99.670 |
99.650 |
99.550 |
| Low |
98.435 |
98.235 |
98.865 |
99.000 |
99.165 |
99.290 |
99.300 |
99.540 |
99.565 |
99.505 |
99.170 |
| Close/Last |
98.630 |
98.905 |
99.030 |
99.205 |
99.475 |
99.320 |
99.595 |
99.650 |
99.630 |
99.530 |
99.400 |
|
|