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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, 2010
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 24 27 29 33 33 33 33 33 33 33 33
Closed Higher 7 14 13 15 12 14 13 18 18 16 16
Exceeded High 5 10 9 11 11 9 11 14 16 12 7
Scenario Percentage 71% 71% 69% 73% 92% 64% 85% 78% 89% 75% 44%
Avg Max Increase 5.94% 7.09% 4.74% 4.50% 4.82% 4.42% 4.99% 6.28% 7.07% 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 14 16 14 20 16 19 13 9
Avg Max Decline -1.64% -0.46% -1.16% -0.79% -1.34% -1.04% -1.55% -1.03% -0.59% -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 10 9 5 2
2009 Contract Condition Yes     Yes Yes   Yes Yes Yes   Yes
Action No     Yes Yes   Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 24 27 29 33 33 33 33 33 33 33 33
Closed Lower 17 13 16 17 21 19 20 15 15 17 17
Penetrated Low 15 10 12 15 17 15 15 11 14 14 13
Scenario Percentage 88% 77% 75% 88% 81% 79% 75% 73% 93% 82% 76%
Avg Max Decline 4.03% 5.39% 3.72% 4.45% 4.46% 4.40% 3.45% 4.15% 4.01% 3.06% 4.41%
Max Decline 9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.39% 20.73%
Avg Days To Max Decline 22 12 16 17 19 18 15 16 17 9 6
Avg Max Increase -1.28% -0.52% -0.97% -0.55% -0.92% -0.81% -1.35% -0.82% -0.89% -1.19% 0.02%
Max Increase -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -1.66%
Avg Days to Max Increase 11 4 12 6 11 6 10 7 7 6 2
2009 Contract Condition   Yes Yes     Yes       Yes  
Action   Yes Yes     No       Not Yet  
High 113.51 113.09 107.16 104.80 106.54 105.92 109.16 108.13 113.41 113.68 117.90
Low 107.14 102.49 101.48 99.45 100.90 101.62 103.38 102.41 107.10 108.34 109.42
Close/Last 112.17 103.06 101.48 101.73 105.36 104.01 105.63 107.62 111.62 111.13 115.91

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