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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 21 24 26 28 32 33 33 33 33 33 33
Closed Higher 11 11 11 9 16 16 16 13 14 13 17
Exceeded High 10 9 7 7 12 12 12 12 9 9 12
Scenario Percentage 91% 82% 64% 78% 75% 75% 75% 92% 64% 69% 71%
Avg Max Increase 4.68% 5.08% 4.42% 5.73% 7.07% 4.11% 4.60% 5.06% 4.42% 4.10% 2.71%
Max Increase 13.76% 8.75% 13.24% 10.42% 19.60% 10.41% 10.48% 15.22% 10.40% 7.20% 8.13%
Avg Days To Max Increase 20 20 17 18 17 16 15 16 16 13 9
Avg Max Decline -1.37% -0.75% -0.75% -1.34% -0.59% -0.89% -0.82% -1.30% -1.08% -1.37% -0.40%
Max Decline -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.38% -2.67%
Avg Days to Max Decline 10 6 13 11 9 5 7 7 9 6 3
2009 Contract Condition Yes Yes Yes Yes     Yes Yes   Yes Yes
Action Yes Yes No No     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 21 24 26 28 32 33 33 33 33 33 33
Closed Lower 10 13 15 19 16 17 17 20 19 20 16
Penetrated Low 9 12 14 17 13 15 14 17 15 15 11
Scenario Percentage 90% 92% 93% 89% 81% 88% 82% 85% 79% 75% 69%
Avg Max Decline 3.98% 4.62% 3.64% 3.76% 5.17% 3.45% 4.72% 4.50% 4.44% 2.89% 4.94%
Max Decline 8.63% 8.84% 8.78% 9.65% 10.51% 8.89% 13.18% 8.68% 15.17% 14.67% 23.26%
Avg Days To Max Decline 23 15 15 21 14 16 17 19 16 9 11
Avg Max Increase -1.35% -0.62% -0.26% -1.47% -0.75% -0.97% -0.48% -0.97% -0.91% -1.13% -0.96%
Max Increase -2.52% -2.95% -1.75% -4.05% -4.35% -3.00% -1.94% -2.12% -2.64% -3.88% -3.02%
Avg Days to Max Increase 12 10 5 10 5 11 4 7 6 5 4
2009 Contract Condition         Yes Yes     Yes    
Action         Yes Yes     No    
High 109.45 106.84 115.25 114.93 113.16 107.19 104.77 106.66 105.99 109.09 108.08
Low 96.92 101.50 105.98 106.54 102.16 100.99 98.94 100.41 101.25 103.20 102.28
Close/Last 102.74 105.98 110.77 111.90 102.72 101.25 101.52 105.21 103.88 105.53 107.56

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