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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Japanese Yen(CME) as of Jan 01, 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 13 14 11 6
Scenario Percentage 80% 69% 75% 71% 91% 64% 83% 76% 88% 73% 43%
Avg Max Increase 5.05% 6.92% 4.74% 4.48% 4.94% 4.42% 4.75% 6.33% 6.52% 3.45% 2.35%
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 16 18 14 8
Avg Max Decline -1.59% -0.65% -1.16% -0.79% -1.12% -1.04% -1.39% -1.07% -0.46% -0.70% -0.45%
Max Decline -5.83% -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 12 7 4 8 7 8 12 11 8 5 2
2007 Contract Condition   Yes Yes       Yes Yes Yes   Yes
Action   Yes No       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 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% 4.46% 4.56% 4.37% 3.49% 4.15% 4.01% 3.10% 4.46%
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 13 17 17 18 17 15 16 17 10 7
Avg Max Increase -1.28% -0.13% -1.00% -0.52% -0.89% -0.71% -1.41% -0.82% -0.89% -1.19% 0.02%
Max Increase -3.84% -1.59% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -1.66%
Avg Days to Max Increase 11 3 13 5 9 6 10 7 7 6 2
2007 Contract Condition Yes     Yes Yes Yes       Yes  
Action Yes     Yes Yes No       Not Yet  
High 88.01 87.71 89.65 87.84 86.36 84.72 86.18 90.89 89.96 88.87 93.50
Low 85.43 85.29 87.27 85.98 84.07 82.35 82.52 84.82 86.84 85.29 86.69
Close/Last 86.23 87.58 87.65 86.06 84.22 82.92 85.63 87.50 87.97 87.16 90.12

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