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MRCI's ScenarioSM Study
ScenarioSM Study for March Swiss Franc(CME) as of Apr 17, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 19 23 25 28 28 28 28 28 28 28 28
Closed Higher 6 10 11 13 15 20 15 12 17 9 15
Exceeded High 6 7 9 11 13 17 9 9 13 8 5
Scenario Percentage 100% 70% 82% 85% 87% 85% 60% 75% 76% 89% 33%
Avg Max Increase 3.97% 6.58% 7.19% 6.45% 6.08% 4.17% 5.52% 7.01% 4.66% 5.65% 3.63%
Max Increase 8.78% 11.71% 16.75% 18.60% 12.10% 11.46% 12.15% 10.90% 10.55% 13.30% 9.13%
Avg Days To Max Increase 17 22 21 20 18 16 19 16 15 14 9
Avg Max Decline -1.20% -0.54% -0.73% -1.80% -1.38% -1.27% -0.60% -1.09% -1.40% -0.88% -0.64%
Max Decline -5.72% -2.32% -2.02% -7.22% -5.77% -3.99% -1.81% -4.09% -2.75% -2.01% -1.30%
Avg Days to Max Decline 12 6 8 14 8 9 3 6 4 7 2
2003 Contract Condition Yes Yes Yes     Yes     Yes Yes Yes
Action Yes Yes Yes     Yes     Yes Yes Yes
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 19 23 25 28 28 28 28 28 28 28 28
Closed Lower 12 13 14 15 13 8 13 16 11 19 13
Penetrated Low 11 9 13 12 7 6 10 14 11 17 10
Scenario Percentage 92% 69% 93% 80% 54% 75% 77% 88% 100% 89% 77%
Avg Max Decline 4.23% 4.77% 4.12% 3.00% 4.00% 3.89% 3.93% 4.62% 6.96% 3.97% 5.35%
Max Decline 9.60% 9.91% 7.87% 7.01% 6.14% 6.02% 6.74% 11.72% 12.52% 8.95% 26.92%
Avg Days To Max Decline 19 18 15 14 18 14 17 19 18 9 12
Avg Max Increase -0.88% -1.56% -0.22% -0.95% -0.87% -2.13% -0.75% -1.38% -0.96% -1.06% -0.73%
Max Increase -2.32% -3.86% -2.84% -3.68% -3.04% -4.75% -2.11% -5.35% -2.95% -3.76% -2.34%
Avg Days to Max Increase 8 15 9 5 4 12 8 11 5 6 -68
2003 Contract Condition       Yes Yes   Yes Yes      
Action       Yes No   No Yes      
High 62.30 64.53 67.77 69.68 68.37 68.35 67.98 69.48 72.50 74.19 74.48
Low 60.11 62.33 64.16 66.67 66.20 66.38 66.38 67.18 66.88 71.07 72.61
Close/Last 62.30 64.11 67.77 67.60 67.02 68.09 67.83 67.51 72.49 73.34 73.97