|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Eurodollars(CME) as of Jan 07, 2009 |
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 |
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 |
18 |
16 |
11 |
8 |
| Scenario Percentage |
63% |
93% |
75% |
80% |
92% |
79% |
100% |
90% |
89% |
61% |
62% |
| Avg Max Increase |
0.56% |
0.44% |
0.76% |
0.85% |
0.67% |
0.71% |
0.66% |
0.86% |
0.59% |
0.44% |
0.26% |
| 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 |
17 |
19 |
16 |
20 |
15 |
15 |
18 |
14 |
9 |
10 |
| Avg Max Decline |
-0.17% |
-0.31% |
-0.16% |
-0.11% |
-0.12% |
-0.09% |
-0.10% |
-0.18% |
-0.13% |
-0.10% |
-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 |
6 |
11 |
6 |
4 |
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 |
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 |
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 |
12 |
| Scenario Percentage |
78% |
100% |
63% |
92% |
71% |
50% |
75% |
43% |
56% |
63% |
92% |
| Avg Max Decline |
0.46% |
0.71% |
0.82% |
0.71% |
0.36% |
0.23% |
0.29% |
0.89% |
0.50% |
0.26% |
1.58% |
| Max Decline |
0.77% |
1.89% |
2.63% |
2.22% |
0.90% |
0.41% |
0.63% |
2.09% |
1.37% |
0.58% |
5.76% |
| Avg Days To Max Decline |
19 |
18 |
18 |
17 |
15 |
8 |
14 |
21 |
21 |
11 |
9 |
| Avg Max Increase |
-0.14% |
-0.12% |
-0.13% |
-0.06% |
-0.18% |
-0.09% |
-0.13% |
-0.19% |
-0.11% |
-0.05% |
-0.12% |
| Max Increase |
-0.41% |
-0.33% |
-0.41% |
-0.20% |
-0.66% |
-0.21% |
-0.41% |
-0.39% |
-0.25% |
-0.17% |
-0.71% |
| Avg Days to Max Increase |
6 |
7 |
5 |
4 |
5 |
9 |
8 |
8 |
13 |
4 |
4 |
| 2008 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
No |
|
|
No |
|
|
| High |
97.870 |
97.810 |
98.265 |
97.880 |
97.290 |
97.060 |
97.095 |
97.055 |
97.365 |
97.845 |
98.155 |
| Low |
96.600 |
97.260 |
97.570 |
96.800 |
96.750 |
96.245 |
96.695 |
96.895 |
96.300 |
96.615 |
97.630 |
| Close/Last |
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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