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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 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 Sep 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 11
Scenario Percentage   91% 82% 64% 78% 75% 75% 75% 92% 64% 69% 65%
Avg Max Increase   4.68% 5.08% 4.42% 5.73% 7.07% 4.11% 4.60% 5.06% 4.42% 4.10% 2.82%
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% -0.20%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.38% -1.72%
Avg Days to Max Decline   10 6 13 11 9 5 7 7 9 6 2
2010 Contract Condition     Yes   Yes Yes     Yes      
Action     No   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 Sep 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 9
Scenario Percentage   90% 92% 93% 89% 81% 88% 82% 85% 79% 75% 56%
Avg Max Decline   3.98% 4.62% 3.64% 3.76% 5.17% 3.45% 4.72% 4.50% 4.44% 2.89% 1.79%
Max Decline   8.63% 8.84% 8.78% 9.65% 10.51% 8.89% 13.18% 8.68% 15.17% 14.67% 5.50%
Avg Days To Max Decline   23 15 15 21 14 16 17 19 16 9 9
Avg Max Increase   -1.35% -0.62% -0.26% -1.47% -0.75% -0.97% -0.48% -0.97% -0.91% -1.13% -0.50%
Max Increase   -2.52% -2.95% -1.75% -4.05% -4.35% -3.00% -1.94% -2.12% -2.64% -3.88% -2.28%
Avg Days to Max Increase   12 10 5 10 5 11 4 7 6 5 3
2010 Contract Condition   Yes   Yes     Yes Yes   Yes    
Action   Yes   Yes     Yes Yes        
High 112.10 113.48 116.18 116.18 111.85 112.77 113.26 109.31 113.87 110.61    
Low 108.09 108.85 110.52 107.65 107.45 108.95 106.93 105.67 105.48 109.33    
Close/Last 112.10 111.52 116.18 107.65 110.93 112.67 107.12 106.63 110.33 109.80    

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