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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
22 |
22 |
22 |
22 |
22 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Higher |
16 |
11 |
15 |
13 |
12 |
8 |
13 |
11 |
19 |
16 |
15 |
| Exceeded High |
13 |
11 |
15 |
8 |
11 |
7 |
12 |
10 |
14 |
16 |
8 |
| Scenario Percentage |
81% |
100% |
100% |
62% |
92% |
88% |
92% |
91% |
74% |
100% |
53% |
| Avg Max Increase |
0.76% |
0.78% |
0.61% |
0.50% |
0.45% |
0.68% |
0.77% |
0.56% |
0.49% |
0.53% |
0.26% |
| Max Increase |
1.59% |
1.86% |
1.09% |
0.99% |
1.50% |
2.38% |
2.39% |
1.00% |
1.69% |
3.82% |
0.66% |
| Avg Days To Max Increase |
18 |
19 |
19 |
13 |
19 |
16 |
16 |
21 |
16 |
8 |
7 |
| Avg Max Decline |
-0.08% |
-0.09% |
-0.19% |
-0.12% |
-0.34% |
-0.14% |
-0.09% |
-0.05% |
-0.08% |
-0.05% |
-0.02% |
| Max Decline |
-0.45% |
-0.38% |
-0.67% |
-0.33% |
-1.06% |
-0.34% |
-0.55% |
-0.13% |
-0.27% |
-0.17% |
-0.10% |
| Avg Days to Max Decline |
7 |
8 |
7 |
4 |
12 |
5 |
2 |
3 |
10 |
3 |
2 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
Yes |
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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
22 |
22 |
22 |
22 |
22 |
23 |
23 |
23 |
23 |
23 |
23 |
| Closed Lower |
6 |
11 |
7 |
9 |
10 |
15 |
9 |
12 |
4 |
7 |
7 |
| Penetrated Low |
6 |
7 |
7 |
8 |
10 |
9 |
9 |
8 |
1 |
6 |
5 |
| Scenario Percentage |
100% |
64% |
100% |
89% |
100% |
60% |
100% |
67% |
25% |
86% |
71% |
| Avg Max Decline |
0.58% |
0.41% |
0.56% |
0.60% |
0.70% |
0.84% |
0.60% |
0.31% |
0.21% |
0.20% |
1.69% |
| Max Decline |
1.27% |
0.66% |
1.38% |
1.93% |
1.71% |
2.14% |
1.82% |
0.72% |
0.21% |
0.38% |
5.05% |
| Avg Days To Max Decline |
16 |
9 |
14 |
18 |
17 |
15 |
18 |
14 |
13 |
11 |
8 |
| Avg Max Increase |
-0.05% |
-0.09% |
-0.08% |
-0.17% |
-0.11% |
-0.13% |
-0.04% |
-0.16% |
-0.05% |
-0.13% |
-0.08% |
| Max Increase |
-0.22% |
-0.27% |
-0.29% |
-0.39% |
-0.30% |
-0.31% |
-0.08% |
-0.64% |
-0.05% |
-0.48% |
-0.16% |
| Avg Days to Max Increase |
4 |
3 |
9 |
6 |
6 |
5 |
5 |
8 |
20 |
6 |
-141 |
| 2001 Contract Condition |
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| Action |
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| High |
93.780 |
93.970 |
94.635 |
95.200 |
95.400 |
95.790 |
95.965 |
96.140 |
96.390 |
96.470 |
96.603 |
| Low |
93.385 |
93.560 |
93.895 |
94.590 |
94.875 |
95.275 |
95.365 |
95.765 |
96.070 |
96.175 |
96.400 |
| Close/Last |
93.610 |
93.950 |
94.565 |
95.185 |
95.360 |
95.690 |
95.790 |
96.130 |
96.185 |
96.465 |
96.570 |
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