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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Sep 30, 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
2006 Contract Condition       Yes     Yes Yes Yes    
Action       No     Yes Yes Not Yet    
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Some data provided by Prophetfinance.com
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
2006 Contract Condition Yes Yes Yes   Yes Yes          
Action Yes Yes Yes   Yes Yes          
High 95.390 95.095 95.015 94.810 94.745 94.705 94.555 94.660 94.725    
Low 95.095 94.860 94.720 94.585 94.550 94.290 94.280 94.460 94.570    
Close/Last 95.110 94.920 94.745 94.755 94.565 94.405 94.550 94.655 94.665