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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, 2013
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   27 30 32 36 36 36 36 36 36 36 36
Closed Higher   9 16 13 17 14 16 16 20 20 17 17
Exceeded High   6 12 9 13 13 11 14 16 17 13 7
Scenario Percentage   67% 75% 69% 76% 93% 69% 88% 80% 85% 76% 41%
Avg Max Increase   5.29% 6.25% 4.74% 4.13% 4.55% 4.67% 4.41% 5.87% 6.88% 3.86% 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   18 16 19 12 15 15 19 17 18 12 9
Avg Max Decline   -1.65% -0.54% -1.16% -0.84% -1.30% -1.07% -1.67% -1.27% -0.60% -0.84% -0.39%
Max Decline   -5.83% -2.89% -3.18% -3.93% -3.98% -2.69% -3.94% -3.76% -3.05% -2.57% -1.02%
Avg Days to Max Decline   13 6 4 9 6 8 11 14 8 4 2
2012 Contract Condition   Yes     Yes Yes   Yes   Yes    
Action   No     Yes Yes   Yes   No    
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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   27 30 32 36 36 36 36 36 36 36 36
Closed Lower   18 14 19 18 22 20 20 16 16 19 19
Penetrated Low   16 11 14 16 17 15 15 12 15 15 14
Scenario Percentage   89% 79% 74% 89% 77% 75% 75% 75% 94% 79% 74%
Avg Max Decline   3.94% 5.26% 3.49% 4.24% 4.46% 4.40% 3.45% 4.03% 3.95% 3.25% 1.61%
Max Decline   9.63% 11.00% 9.36% 13.47% 8.06% 15.07% 16.03% 8.34% 11.20% 8.75% 3.46%
Avg Days To Max Decline   22 13 14 16 19 18 15 17 18 10 7
Avg Max Increase   -1.24% -0.44% -0.96% -0.53% -0.92% -0.81% -1.35% -0.88% -0.97% -1.17% 0.01%
Max Increase   -3.84% -3.98% -3.03% -2.76% -1.92% -2.47% -3.61% -2.28% -2.67% -2.90% -0.82%
Avg Days to Max Increase   10 5 12 6 11 6 10 7 8 6 2
2012 Contract Condition     Yes Yes     Yes   Yes   Yes Yes
Action     Yes No     No   Yes   Yes Yes
High 131.05 131.92 131.92 124.31 125.70 128.04 129.00 128.51 128.48 129.77 128.63 126.50
Low 129.14 128.45 123.68 119.80 120.88 124.54 124.38 125.16 125.65 126.31 124.44 120.74
Close/Last 131.05 131.92 123.68 121.09 125.70 128.03 125.52 128.22 127.78 128.32 125.41 121.38

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