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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Japanese Yen(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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 21 23 25 31 32 33 33 33 33 33 33
Closed Higher 8 15 14 16 15 17 12 17 16 16 12
Exceeded High 6 11 12 13 13 14 9 13 11 10 7
Scenario Percentage 75% 73% 86% 81% 87% 82% 75% 76% 69% 62% 58%
Avg Max Increase 4.18% 6.26% 7.51% 4.85% 4.74% 3.81% 6.18% 6.92% 4.44% 4.54% 2.44%
Max Increase 9.36% 22.09% 19.14% 13.75% 9.70% 12.98% 10.78% 19.42% 10.41% 11.16% 4.62%
Avg Days To Max Increase 17 17 19 20 19 14 21 17 18 15 11
Avg Max Decline -0.59% -0.59% -0.39% -1.36% -1.09% -1.05% -1.19% -0.70% -1.10% -0.60% -0.38%
Max Decline -1.21% -3.57% -2.70% -6.37% -3.34% -4.02% -5.98% -3.20% -3.17% -1.10% -0.99%
Avg Days to Max Decline 11 12 5 11 6 8 8 9 5 5 2
2009 Contract Condition     Yes Yes Yes Yes Yes     Yes Yes
Action     Yes Yes Yes Yes No     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 21 23 25 31 32 33 33 33 33 33 33
Closed Lower 13 8 11 15 17 16 21 16 17 17 21
Penetrated Low 9 5 11 14 15 15 18 13 15 13 20
Scenario Percentage 69% 62% 100% 93% 88% 94% 86% 81% 88% 76% 95%
Avg Max Decline 3.71% 3.82% 3.03% 3.83% 4.11% 4.05% 4.08% 5.18% 3.51% 4.38% 7.07%
Max Decline 16.02% 7.00% 5.74% 8.63% 8.91% 9.06% 9.59% 10.19% 8.53% 13.03% 23.63%
Avg Days To Max Decline 18 15 19 19 15 15 23 12 15 11 14
Avg Max Increase -1.16% -0.30% -0.30% -1.25% -0.80% -0.51% -1.62% -0.87% -0.86% -0.50% -1.34%
Max Increase -2.75% -1.16% -1.33% -2.71% -3.44% -1.91% -4.15% -4.50% -3.24% -1.90% -5.56%
Avg Days to Max Increase 9 2 9 6 9 3 11 5 8 4 -32
2009 Contract Condition Yes Yes           Yes Yes    
Action Yes No           Yes Yes    
High 97.22 94.73 98.47 111.17 107.50 115.09 115.14 113.28 107.03 104.64 106.57
Low 94.36 92.27 93.28 96.37 100.68 105.57 106.08 101.56 100.54 98.67 100.25
Close/Last 94.56 93.60 96.37 102.30 105.57 110.52 111.67 102.42 101.04 101.37 105.11

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