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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December EuroFX(CME) as of Jan 01, 2013
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   14 14 14 14 14 14 14 14 14 14 14
Closed Higher   5 8 7 6 6 7 6 8 9 8 8
Exceeded High   4 6 7 3 4 4 6 6 7 7 6
Scenario Percentage   80% 75% 100% 50% 67% 57% 100% 75% 78% 88% 75%
Avg Max Increase   4.01% 4.24% 5.59% 6.87% 4.04% 3.90% 4.05% 3.62% 4.10% 3.48% 2.11%
Max Increase   6.48% 7.39% 9.72% 10.97% 9.55% 8.58% 6.59% 5.58% 7.26% 5.35% 3.26%
Avg Days To Max Increase   21 24 21 23 17 20 17 15 19 13 11
Avg Max Decline   -1.28% -0.98% -1.15% -0.29% -1.33% -1.11% -1.29% -0.97% -1.35% -0.83% -0.51%
Max Decline   -2.89% -2.54% -2.95% -0.63% -2.69% -2.01% -3.54% -2.82% -2.19% -2.33% -0.95%
Avg Days to Max Decline   12 6 9 1 9 4 14 4 13 8 2
2012 Contract Condition   Yes Yes       Yes   Yes Yes Yes Yes
Action   Yes No       No   Yes No 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   14 14 14 14 14 14 14 14 14 14 14
Closed Lower   9 6 7 8 8 7 8 6 5 6 6
Penetrated Low   7 4 7 6 7 5 6 4 5 4 2
Scenario Percentage   78% 67% 100% 75% 88% 71% 75% 67% 100% 67% 33%
Avg Max Decline   3.67% 4.89% 5.95% 5.36% 2.69% 2.89% 5.45% 6.89% 5.31% 3.22% 2.28%
Max Decline   6.25% 7.01% 9.94% 10.42% 3.67% 5.93% 10.80% 15.36% 12.79% 5.38% 3.65%
Avg Days To Max Decline   20 25 24 13 11 13 11 18 17 12 8
Avg Max Increase   -1.47% -0.74% -1.08% -0.66% -1.45% -0.59% -1.00% -1.34% -0.50% -0.69% -0.48%
Max Increase   -3.56% -1.50% -2.59% -2.11% -3.29% -2.31% -1.80% -1.94% -1.58% -1.34% -0.85%
Avg Days to Max Increase   7 7 8 4 9 5 7 6 3 1 1
2012 Contract Condition       Yes Yes Yes   Yes        
Action       Yes Yes Yes   No        
High 134.89 132.29 134.91 133.64 133.55 133.00 128.05 126.89 126.52 131.83 131.47 130.31
Low 130.14 127.15 130.85 130.46 130.75 123.75 123.25 120.69 121.60 125.20 128.13 126.65
Close/Last 130.32 131.10 133.64 133.55 132.67 123.97 126.82 123.29 125.96 128.62 129.67 130.00

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