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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Japanese Yen(CME) as of Sep 10, 2010 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
22 |
25 |
27 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Higher |
10 |
9 |
11 |
13 |
19 |
19 |
16 |
16 |
17 |
13 |
19 |
| Exceeded High |
6 |
7 |
7 |
11 |
15 |
16 |
13 |
12 |
14 |
9 |
11 |
| Scenario Percentage |
60% |
78% |
64% |
85% |
79% |
84% |
81% |
75% |
82% |
69% |
58% |
| Avg Max Increase |
4.18% |
3.71% |
3.73% |
4.96% |
6.32% |
7.06% |
4.92% |
5.13% |
3.72% |
4.82% |
3.20% |
| Max Increase |
6.80% |
6.68% |
5.90% |
9.66% |
22.51% |
19.42% |
13.74% |
9.66% |
12.81% |
8.91% |
8.35% |
| Avg Days To Max Increase |
19 |
18 |
17 |
20 |
17 |
20 |
19 |
20 |
15 |
11 |
7 |
| Avg Max Decline |
-0.40% |
-1.61% |
-1.07% |
-1.48% |
-0.67% |
-0.65% |
-1.60% |
-1.13% |
-1.04% |
-0.80% |
-0.22% |
| Max Decline |
-0.82% |
-3.16% |
-2.63% |
-3.75% |
-3.62% |
-2.92% |
-6.60% |
-3.45% |
-4.19% |
-2.12% |
-0.90% |
| Avg Days to Max Decline |
7 |
10 |
6 |
12 |
11 |
9 |
10 |
6 |
8 |
5 |
2 |
| 2010 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
| Action |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
No |
|
Yes |
Yes |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
22 |
25 |
27 |
33 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Lower |
12 |
16 |
16 |
20 |
14 |
15 |
18 |
18 |
17 |
21 |
15 |
| Penetrated Low |
9 |
13 |
12 |
14 |
11 |
15 |
16 |
16 |
16 |
18 |
13 |
| Scenario Percentage |
75% |
81% |
75% |
70% |
79% |
100% |
89% |
89% |
94% |
86% |
87% |
| Avg Max Decline |
5.85% |
4.33% |
3.91% |
3.63% |
4.13% |
3.86% |
3.72% |
3.87% |
3.88% |
3.05% |
7.33% |
| Max Decline |
13.48% |
8.05% |
14.90% |
16.01% |
7.87% |
11.04% |
8.76% |
8.79% |
9.71% |
6.39% |
17.73% |
| Avg Days To Max Decline |
19 |
17 |
19 |
15 |
16 |
17 |
19 |
12 |
15 |
12 |
14 |
| Avg Max Increase |
-0.37% |
-0.73% |
-0.59% |
-1.12% |
-0.81% |
-0.77% |
-1.59% |
-0.79% |
-0.63% |
-1.23% |
-0.64% |
| Max Increase |
-1.54% |
-1.72% |
-1.98% |
-3.44% |
-1.62% |
-2.39% |
-6.01% |
-3.08% |
-2.09% |
-4.28% |
-4.00% |
| Avg Days to Max Increase |
6 |
9 |
6 |
8 |
7 |
9 |
7 |
9 |
3 |
6 |
4 |
| 2010 Contract Condition |
|
|
Yes |
|
|
|
Yes |
|
Yes |
|
|
| Action |
|
|
No |
|
|
|
Yes |
|
Yes |
|
|
| High |
104.44 |
106.53 |
105.60 |
109.04 |
108.05 |
113.44 |
113.73 |
117.89 |
116.11 |
112.21 |
112.90 |
| Low |
99.88 |
101.31 |
102.23 |
103.82 |
102.78 |
107.47 |
108.44 |
109.54 |
107.38 |
106.79 |
108.52 |
| Close/Last |
101.99 |
105.57 |
104.22 |
105.81 |
107.70 |
111.70 |
111.21 |
115.97 |
107.40 |
110.78 |
112.53 |
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