|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Eurodollars(CME) as of Jan 06, 2009 |
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 |
26 |
26 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Higher |
17 |
13 |
17 |
14 |
14 |
9 |
15 |
12 |
20 |
19 |
17 |
| Exceeded High |
13 |
13 |
17 |
9 |
13 |
7 |
13 |
11 |
15 |
18 |
9 |
| Scenario Percentage |
76% |
100% |
100% |
64% |
93% |
78% |
87% |
92% |
75% |
95% |
53% |
| Avg Max Increase |
0.76% |
0.79% |
0.64% |
0.54% |
0.45% |
0.68% |
0.72% |
0.52% |
0.47% |
0.49% |
0.25% |
| Max Increase |
1.59% |
1.86% |
1.45% |
0.99% |
1.50% |
2.38% |
2.39% |
1.00% |
1.69% |
3.82% |
0.66% |
| Avg Days To Max Increase |
18 |
18 |
19 |
14 |
18 |
16 |
15 |
20 |
16 |
7 |
6 |
| Avg Max Decline |
-0.08% |
-0.11% |
-0.17% |
-0.13% |
-0.29% |
-0.14% |
-0.09% |
-0.04% |
-0.07% |
-0.05% |
-0.02% |
| Max Decline |
-0.45% |
-0.41% |
-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 |
6 |
10 |
5 |
3 |
2 |
9 |
3 |
1 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
Yes |
|
| Action |
|
Yes |
Yes |
Yes |
Yes |
No |
|
|
|
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 |
26 |
26 |
26 |
26 |
26 |
27 |
27 |
27 |
27 |
27 |
27 |
| Closed Lower |
7 |
13 |
8 |
12 |
12 |
18 |
11 |
15 |
7 |
8 |
9 |
| Penetrated Low |
7 |
8 |
8 |
10 |
12 |
11 |
11 |
11 |
2 |
7 |
7 |
| Scenario Percentage |
100% |
62% |
100% |
83% |
100% |
61% |
100% |
73% |
29% |
88% |
78% |
| Avg Max Decline |
0.52% |
0.39% |
0.52% |
0.57% |
0.63% |
0.73% |
0.57% |
0.31% |
0.19% |
0.18% |
1.58% |
| 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 |
15 |
20 |
18 |
18 |
17 |
15 |
11 |
10 |
10 |
| Avg Max Increase |
-0.05% |
-0.10% |
-0.09% |
-0.14% |
-0.11% |
-0.11% |
-0.05% |
-0.14% |
-0.03% |
-0.11% |
-0.06% |
| Max Increase |
-0.22% |
-0.27% |
-0.29% |
-0.39% |
-0.30% |
-0.31% |
-0.14% |
-0.64% |
-0.05% |
-0.48% |
-0.16% |
| Avg Days to Max Increase |
3 |
3 |
9 |
6 |
6 |
6 |
5 |
6 |
13 |
6 |
-99 |
| 2008 Contract Condition |
|
|
|
|
|
|
Yes |
Yes |
Yes |
|
Yes |
| Action |
|
|
|
|
|
|
Yes |
Yes |
No |
|
Yes |
| High |
95.970 |
96.565 |
96.605 |
97.905 |
97.815 |
98.335 |
97.925 |
97.445 |
97.255 |
97.215 |
97.190 |
| Low |
95.355 |
95.685 |
96.100 |
96.480 |
97.355 |
97.600 |
97.005 |
97.070 |
96.610 |
97.020 |
97.130 |
| Close/Last |
95.690 |
96.495 |
96.510 |
97.555 |
97.785 |
97.905 |
97.310 |
97.160 |
97.070 |
97.190 |
97.177 |
|
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