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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 Apr 30, 2011
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   22 25 27 29 33 34 34 34 34 34 34
Closed Higher   11 12 11 10 17 16 16 14 15 14 18
Exceeded High   10 9 7 8 13 12 12 13 10 10 13
Scenario Percentage   91% 75% 64% 80% 76% 75% 75% 93% 67% 71% 72%
Avg Max Increase   4.68% 5.08% 4.42% 5.28% 6.56% 4.11% 4.60% 5.09% 4.56% 4.05% 2.57%
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 16 16 16 15 17 17 12 9
Avg Max Decline   -1.37% -0.75% -0.75% -1.39% -0.58% -0.89% -0.82% -1.37% -1.05% -1.30% -0.48%
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 12 8 5 7 7 9 6 3
2011 Contract Condition   Yes   Yes   Yes   Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 25 27 29 33 34 34 34 34 34 34
Closed Lower   11 13 16 19 16 18 18 20 19 20 16
Penetrated Low   10 12 15 17 13 16 15 17 15 15 9
Scenario Percentage   91% 92% 94% 89% 81% 89% 83% 85% 79% 75% 56%
Avg Max Decline   3.93% 4.62% 3.41% 3.76% 5.17% 3.33% 4.48% 4.50% 4.44% 3.01% 2.07%
Max Decline   8.63% 8.84% 8.78% 9.65% 10.51% 8.89% 13.18% 8.68% 15.17% 15.70% 6.64%
Avg Days To Max Decline   24 15 14 21 14 15 16 19 16 10 10
Avg Max Increase   -1.63% -0.62% -0.36% -1.47% -0.75% -1.04% -0.45% -0.97% -0.91% -1.13% -0.61%
Max Increase   -4.18% -2.95% -1.77% -4.05% -4.35% -3.00% -1.94% -2.12% -2.64% -3.88% -2.28%
Avg Days to Max Increase   14 10 5 10 5 11 4 7 6 5 5
2011 Contract Condition     Yes   Yes   Yes   Yes      
Action     Yes   Yes   Yes          
High 121.03 124.76 125.00 123.62 123.62 123.14 129.44 123.43 123.47      
Low 117.24 120.57 119.35 118.94 120.45 119.31 120.42 117.07 122.56      
Close/Last 120.57 124.76 120.28 123.62 122.25 122.56 120.51 123.38 123.18      

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