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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 26 28 32 32 32 32 32 32 32 32
Closed Higher   6 14 13 14 11 14 12 17 17 16 15
Exceeded High   5 10 9 10 10 9 10 13 15 12 7
Scenario Percentage   83% 71% 69% 71% 91% 64% 83% 76% 88% 75% 47%
Avg Max Increase   5.94% 7.09% 4.74% 4.48% 4.94% 4.42% 4.75% 6.33% 7.16% 4.16% 3.23%
Max Increase   9.98% 19.83% 10.37% 9.71% 15.49% 10.93% 9.83% 22.99% 19.82% 11.98% 8.50%
Avg Days To Max Increase   21 18 19 13 16 14 19 16 18 13 9
Avg Max Decline   -1.64% -0.46% -1.16% -0.79% -1.12% -1.04% -1.39% -1.07% -0.44% -0.80% -0.39%
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 7 5 2
2008 Contract Condition   Yes Yes Yes           Yes Yes Yes
Action   Yes Yes No           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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 26 28 32 32 32 32 32 32 32 32
Closed Lower   17 12 15 17 21 18 20 15 15 16 17
Penetrated Low   15 9 11 15 17 15 15 11 14 14 12
Scenario Percentage   88% 75% 73% 88% 81% 83% 75% 73% 93% 88% 71%
Avg Max Decline   4.03% 5.60% 3.87% 4.45% 4.46% 4.40% 3.45% 4.15% 4.01% 3.09% 1.60%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.75% 3.26%
Avg Days To Max Decline   22 13 17 17 19 18 15 16 17 10 7
Avg Max Increase   -1.28% -0.13% -1.00% -0.55% -0.92% -0.81% -1.35% -0.82% -0.89% -1.19% 0.10%
Max Increase   -3.84% -1.59% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -0.59%
Avg Days to Max Increase   11 3 13 6 11 6 10 7 7 6 2
2008 Contract Condition         Yes Yes Yes Yes Yes      
Action         Yes Yes Yes Yes No      
High 94.30 96.76 97.51 104.65 101.41 98.28 97.02 97.20 93.93 97.40 110.33 106.96
Low 90.34 93.49 93.82 97.58 96.77 95.57 93.13 93.01 90.69 92.14 94.84 99.53
Close/Last 92.29 95.58 97.51 101.41 97.37 95.84 95.22 93.42 92.50 94.98 101.40 104.65

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