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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Eurodollars(CME) as of May 31, 2010
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   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   63% 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
2010 Contract Condition   Yes Yes   Yes   Yes          
Action   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   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 8
Scenario Percentage   80% 100% 63% 92% 71% 50% 75% 43% 56% 63% 62%
Avg Max Decline   0.43% 0.72% 0.82% 0.71% 0.36% 0.23% 0.29% 0.89% 0.50% 0.22% 0.20%
Max Decline   0.77% 1.89% 2.63% 2.22% 0.90% 0.41% 0.63% 2.09% 1.37% 0.45% 0.58%
Avg Days To Max Decline   18 18 18 17 15 8 14 21 21 8 7
Avg Max Increase   -0.15% -0.12% -0.13% -0.06% -0.19% -0.12% -0.14% -0.19% -0.11% -0.03% -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   7 7 5 4 5 9 8 8 13 2 3
2010 Contract Condition       Yes   Yes            
Action       Yes   Not Yet            
High 98.950 99.035 99.205 99.240 99.325 99.250 99.045          
Low 98.415 98.430 98.925 99.050 99.040 98.780 98.950          
Close/Last 98.470 99.010 99.195 99.170 99.175 99.005 99.025          

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