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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Eurodollars(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
23 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Higher |
15 |
13 |
7 |
14 |
13 |
18 |
14 |
17 |
16 |
16 |
11 |
| Exceeded High |
9 |
12 |
6 |
12 |
12 |
14 |
14 |
16 |
15 |
10 |
7 |
| Scenario Percentage |
60% |
92% |
86% |
86% |
92% |
78% |
100% |
94% |
94% |
63% |
64% |
| Avg Max Increase |
0.53% |
0.44% |
0.76% |
0.85% |
0.67% |
0.70% |
0.72% |
0.91% |
0.61% |
0.45% |
0.30% |
| Max Increase |
1.06% |
1.55% |
2.37% |
2.50% |
1.43% |
2.29% |
2.72% |
4.42% |
2.88% |
1.56% |
0.74% |
| Avg Days To Max Increase |
13 |
17 |
19 |
16 |
20 |
14 |
14 |
16 |
14 |
9 |
11 |
| Avg Max Decline |
-0.17% |
-0.35% |
-0.16% |
-0.11% |
-0.12% |
-0.09% |
-0.10% |
-0.15% |
-0.12% |
-0.12% |
-0.02% |
| Max Decline |
-0.39% |
-0.96% |
-0.40% |
-0.47% |
-0.60% |
-0.39% |
-0.34% |
-0.76% |
-0.45% |
-0.60% |
-0.11% |
| Avg Days to Max Decline |
5 |
12 |
6 |
4 |
5 |
7 |
5 |
4 |
7 |
9 |
2 |
| 2005 Contract Condition |
|
|
|
Yes |
Yes |
|
|
Yes |
|
|
|
| Action |
|
|
|
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
23 |
23 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
24 |
| Closed Lower |
7 |
10 |
17 |
10 |
11 |
6 |
8 |
7 |
8 |
7 |
12 |
| Penetrated Low |
6 |
10 |
10 |
9 |
7 |
3 |
6 |
3 |
5 |
5 |
11 |
| Scenario Percentage |
86% |
100% |
59% |
90% |
64% |
50% |
75% |
43% |
63% |
71% |
92% |
| Avg Max Decline |
0.47% |
0.75% |
0.91% |
0.72% |
0.35% |
0.26% |
0.29% |
0.89% |
0.50% |
0.28% |
1.71% |
| Max Decline |
0.77% |
1.89% |
2.63% |
2.22% |
0.90% |
0.41% |
0.63% |
2.09% |
1.37% |
0.68% |
5.76% |
| Avg Days To Max Decline |
18 |
17 |
15 |
18 |
17 |
10 |
14 |
21 |
21 |
11 |
9 |
| Avg Max Increase |
-0.17% |
-0.13% |
-0.14% |
-0.05% |
-0.22% |
-0.12% |
-0.13% |
-0.19% |
-0.11% |
-0.05% |
-0.13% |
| Max Increase |
-0.41% |
-0.33% |
-0.41% |
-0.14% |
-0.66% |
-0.21% |
-0.41% |
-0.39% |
-0.25% |
-0.17% |
-0.71% |
| Avg Days to Max Increase |
7 |
6 |
4 |
4 |
6 |
11 |
8 |
8 |
13 |
4 |
4 |
| 2005 Contract Condition |
Yes |
Yes |
Yes |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
| Action |
Yes |
Yes |
No |
|
|
Yes |
Yes |
|
Yes |
Yes |
Not Yet |
| High |
96.460 |
96.370 |
96.045 |
96.200 |
96.200 |
96.320 |
96.035 |
95.920 |
96.125 |
95.630 |
95.525 |
| Low |
96.220 |
95.955 |
95.620 |
95.745 |
95.960 |
96.005 |
95.730 |
95.640 |
95.610 |
95.510 |
95.483 |
| Close/Last |
96.305 |
95.975 |
95.765 |
96.065 |
96.120 |
96.030 |
95.735 |
95.920 |
95.615 |
95.520 |
95.505 |
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