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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Japanese Yen(CME) as of Apr 04, 2008 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
22 |
25 |
27 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Higher |
5 |
13 |
12 |
14 |
11 |
14 |
12 |
17 |
16 |
15 |
14 |
| Exceeded High |
4 |
9 |
9 |
10 |
10 |
9 |
10 |
12 |
14 |
11 |
6 |
| Scenario Percentage |
80% |
69% |
75% |
71% |
91% |
64% |
83% |
71% |
88% |
73% |
43% |
| Avg Max Increase |
5.05% |
6.88% |
4.74% |
4.40% |
4.93% |
4.41% |
4.70% |
6.71% |
6.47% |
3.42% |
2.31% |
| Max Increase |
9.98% |
19.83% |
10.37% |
9.71% |
15.49% |
10.93% |
9.83% |
22.99% |
19.82% |
8.19% |
3.51% |
| Avg Days To Max Increase |
22 |
18 |
19 |
13 |
16 |
14 |
19 |
17 |
18 |
14 |
8 |
| Avg Max Decline |
-1.58% |
-0.61% |
-1.16% |
-0.75% |
-1.11% |
-1.00% |
-1.39% |
-1.12% |
-0.46% |
-0.70% |
-0.37% |
| Max Decline |
-5.80% |
-2.89% |
-3.18% |
-3.93% |
-3.98% |
-2.69% |
-3.75% |
-3.55% |
-3.05% |
-2.57% |
-1.02% |
| Avg Days to Max Decline |
11 |
7 |
4 |
8 |
7 |
9 |
12 |
12 |
8 |
5 |
2 |
| 2006 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
|
Yes |
Yes |
| Action |
No |
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 |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
| Tested Years |
22 |
25 |
27 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
31 |
| Closed Lower |
17 |
12 |
15 |
16 |
20 |
17 |
19 |
14 |
15 |
16 |
17 |
| Penetrated Low |
15 |
9 |
11 |
14 |
16 |
14 |
14 |
11 |
14 |
14 |
13 |
| Scenario Percentage |
88% |
75% |
73% |
88% |
80% |
82% |
74% |
79% |
93% |
88% |
76% |
| Avg Max Decline |
4.03% |
5.60% |
3.87% |
4.45% |
4.50% |
4.32% |
3.49% |
4.15% |
4.00% |
3.08% |
4.44% |
| Max Decline |
9.63% |
11.00% |
9.36% |
13.47% |
8.06% |
15.07% |
16.03% |
8.34% |
11.20% |
8.75% |
20.73% |
| Avg Days To Max Decline |
22 |
12 |
17 |
17 |
18 |
17 |
15 |
16 |
17 |
10 |
7 |
| Avg Max Increase |
-1.27% |
-0.13% |
-1.00% |
-0.52% |
-0.87% |
-0.68% |
-1.37% |
-0.82% |
-0.84% |
-1.19% |
0.14% |
| Max Increase |
-3.84% |
-1.59% |
-3.03% |
-2.76% |
-1.92% |
-2.25% |
-3.61% |
-2.28% |
-2.67% |
-2.90% |
-1.66% |
| Avg Days to Max Increase |
11 |
3 |
13 |
5 |
9 |
6 |
9 |
7 |
7 |
6 |
2 |
| 2006 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| Action |
|
|
No |
|
|
Yes |
Yes |
Yes |
Yes |
|
|
| High |
91.36 |
89.77 |
89.65 |
90.72 |
93.77 |
91.91 |
89.94 |
89.07 |
87.68 |
86.32 |
86.78 |
| Low |
88.56 |
87.49 |
87.18 |
87.23 |
90.70 |
88.01 |
86.70 |
86.40 |
85.50 |
84.14 |
84.72 |
| Close/Last |
88.74 |
89.77 |
87.95 |
90.72 |
91.19 |
89.46 |
88.95 |
86.47 |
85.59 |
86.08 |
86.56 |
|
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