MRCI Online
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| ScenarioSM Study for September Eurodollars(CME) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 25 | 25 | 25 | 25 | 25 | 26 | 26 | 26 | 26 | 26 | 26 |
| Closed Higher | 17 | 12 | 16 | 13 | 13 | 8 | 15 | 12 | 20 | 18 | 17 |
| Exceeded High | 13 | 12 | 16 | 8 | 12 | 7 | 12 | 11 | 15 | 18 | 10 |
| Scenario Percentage | 76% | 100% | 100% | 62% | 92% | 88% | 80% | 92% | 75% | 100% | 59% |
| Avg Max Increase | 0.76% | 0.74% | 0.59% | 0.50% | 0.43% | 0.68% | 0.77% | 0.52% | 0.48% | 0.49% | 0.23% |
| 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 | 17 | 18 | 13 | 18 | 16 | 16 | 20 | 16 | 8 | 6 |
| Avg Max Decline | -0.08% | -0.09% | -0.18% | -0.12% | -0.31% | -0.14% | -0.09% | -0.04% | -0.07% | -0.06% | -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 | 7 | 7 | 4 | 11 | 5 | 2 | 2 | 9 | 4 | 1 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | |||||||
| Action | Yes | Yes | Yes | Yes | |||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
