|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Eurodollars(CME) as of Jun 30, 2007 |
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 |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Higher |
17 |
11 |
16 |
13 |
12 |
8 |
15 |
12 |
19 |
17 |
17 |
| Exceeded High |
13 |
11 |
16 |
8 |
11 |
7 |
13 |
11 |
14 |
17 |
10 |
| Scenario Percentage |
76% |
100% |
100% |
62% |
92% |
88% |
87% |
92% |
74% |
100% |
59% |
| Avg Max Increase |
0.76% |
0.78% |
0.59% |
0.50% |
0.45% |
0.68% |
0.72% |
0.52% |
0.49% |
0.50% |
0.22% |
| 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 |
18 |
13 |
19 |
16 |
15 |
20 |
16 |
8 |
7 |
| Avg Max Decline |
-0.08% |
-0.09% |
-0.18% |
-0.12% |
-0.34% |
-0.14% |
-0.09% |
-0.04% |
-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 |
3 |
2 |
10 |
3 |
2 |
| 2007 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 |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
24 |
24 |
24 |
24 |
24 |
25 |
25 |
25 |
25 |
25 |
25 |
| Closed Lower |
7 |
13 |
7 |
11 |
12 |
17 |
9 |
13 |
6 |
8 |
7 |
| Penetrated Low |
7 |
8 |
7 |
10 |
12 |
10 |
9 |
9 |
2 |
7 |
5 |
| Scenario Percentage |
100% |
62% |
100% |
91% |
100% |
59% |
100% |
69% |
33% |
88% |
71% |
| Avg Max Decline |
0.52% |
0.39% |
0.56% |
0.57% |
0.63% |
0.77% |
0.60% |
0.31% |
0.19% |
0.18% |
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 |
14 |
11 |
14 |
20 |
18 |
17 |
18 |
15 |
11 |
10 |
8 |
| Avg Max Increase |
-0.05% |
-0.10% |
-0.08% |
-0.14% |
-0.11% |
-0.12% |
-0.04% |
-0.16% |
-0.03% |
-0.11% |
-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 |
3 |
3 |
9 |
6 |
6 |
7 |
5 |
8 |
13 |
6 |
-141 |
| 2007 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
|
|
| Action |
|
|
Yes |
No |
|
Yes |
Yes |
Yes |
|
|
|
| High |
95.285 |
95.225 |
95.420 |
95.090 |
95.030 |
95.115 |
94.930 |
94.815 |
94.690 |
|
|
| Low |
94.850 |
94.925 |
94.895 |
94.685 |
94.695 |
94.900 |
94.720 |
94.650 |
94.615 |
|
|
| Close/Last |
95.125 |
95.215 |
94.915 |
94.745 |
94.995 |
94.925 |
94.800 |
94.665 |
94.670 |
|
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