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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 26 27 27 27 27 27 27 27 27 27
Closed Higher   16 15 8 15 13 19 17 20 18 18 13
Exceeded High   10 14 6 12 12 15 17 19 16 11 7
Scenario Percentage   63% 93% 75% 80% 92% 79% 100% 95% 89% 61% 54%
Avg Max Increase   0.56% 0.44% 0.76% 0.85% 0.67% 0.71% 0.66% 0.83% 0.59% 0.44% 0.29%
Max Increase   1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.47% 0.74%
Avg Days To Max Increase   13 16 19 16 20 15 15 17 14 9 9
Avg Max Decline   -0.17% -0.30% -0.17% -0.11% -0.12% -0.09% -0.10% -0.18% -0.13% -0.11% -0.02%
Max Decline   -0.39% -0.96% -0.40% -0.47% -0.60% -0.39% -0.34% -0.81% -0.45% -0.60% -0.11%
Avg Days to Max Decline   6 11 6 5 5 7 6 6 7 8 2
2008 Contract Condition   Yes Yes Yes       Yes Yes   Yes Yes
Action   Yes Yes No       Yes Yes   Yes Not Yet
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 26 27 27 27 27 27 27 27 27 27
Closed Lower   9 11 19 12 14 8 8 7 9 8 13
Penetrated Low   7 11 12 11 10 4 6 3 5 5 9
Scenario Percentage   78% 100% 63% 92% 71% 50% 75% 43% 56% 63% 69%
Avg Max Decline   0.46% 0.72% 0.82% 0.71% 0.36% 0.23% 0.29% 0.89% 0.50% 0.27% 0.24%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.58% 0.76%
Avg Days To Max Decline   19 18 18 17 15 8 14 21 21 12 10
Avg Max Increase   -0.15% -0.12% -0.13% -0.06% -0.19% -0.12% -0.14% -0.19% -0.11% -0.05% -0.01%
Max Increase   -0.41% -0.33% -0.41% -0.20% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.03%
Avg Days to Max Increase   6 7 5 4 5 9 8 8 13 4 2
2008 Contract Condition         Yes Yes Yes     Yes    
Action         Yes Yes No     No    
High 96.725 97.870 97.810 98.265 97.880 97.295 97.075 97.095 97.070 97.420 97.870 98.170
Low 96.205 96.600 97.260 97.570 96.760 96.750 96.240 96.695 96.890 96.235 96.555 97.580
Close/Last 96.630 97.435 97.790 97.840 97.100 96.890 96.820 97.005 97.025 96.545 97.755 97.875

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