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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, 2010
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 27 27 28 28 28 28 28 28 28 28 28
Closed Higher 16 16 9 16 14 20 18 21 19 19 14
Exceeded High 10 15 7 13 13 16 18 20 17 12 7
Scenario Percentage 62% 94% 78% 81% 93% 80% 100% 95% 89% 63% 50%
Avg Max Increase 0.56% 0.43% 0.72% 0.82% 0.64% 0.69% 0.65% 0.79% 0.56% 0.39% 0.22%
Max Increase 1.06% 1.55% 2.37% 2.50% 1.43% 2.29% 2.72% 4.42% 2.88% 1.24% 0.74%
Avg Days To Max Increase 13 17 19 17 20 16 16 17 15 10 8
Avg Max Decline -0.17% -0.30% -0.17% -0.10% -0.15% -0.08% -0.10% -0.17% -0.13% -0.10% -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 4 5 7 6 5 7 8 2
2009 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 27 27 28 28 28 28 28 28 28 28 28
Closed Lower 10 11 19 12 14 8 8 7 9 8 13
Penetrated Low 8 11 12 11 10 4 6 3 5 5 11
Scenario Percentage 80% 100% 63% 92% 71% 50% 75% 43% 56% 62% 85%
Avg Max Decline 0.43% 0.72% 0.82% 0.71% 0.36% 0.23% 0.29% 0.89% 0.50% 0.25% 1.69%
Max Decline 0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.49% 5.76%
Avg Days To Max Decline 18 18 18 17 15 8 14 21 21 12 9
Avg Max Increase -0.15% -0.12% -0.13% -0.06% -0.19% -0.12% -0.14% -0.19% -0.11% -0.05% -0.13%
Max Increase -0.41% -0.33% -0.41% -0.20% -0.66% -0.21% -0.44% -0.39% -0.25% -0.17% -0.71%
Avg Days to Max Increase 7 7 5 4 5 9 8 8 13 4 5
2009 Contract Condition Yes                    
Action Yes                    
High 98.885 98.635 98.770 98.815 99.235 99.165 99.310 99.550 99.645 99.690 99.745
Low 98.330 98.385 98.235 98.570 98.760 98.580 99.090 99.160 99.485 99.600 99.670
Close/Last 98.450 98.455 98.755 98.805 99.060 99.095 99.290 99.540 99.630 99.680 99.712

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