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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Swiss Franc(CME) as of Sep 10, 2010 |
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 |
26 |
30 |
32 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
8 |
14 |
13 |
15 |
18 |
24 |
20 |
17 |
19 |
11 |
18 |
| Exceeded High |
7 |
9 |
11 |
13 |
16 |
21 |
13 |
13 |
14 |
9 |
8 |
| Scenario Percentage |
88% |
64% |
85% |
87% |
89% |
88% |
65% |
76% |
74% |
82% |
44% |
| Avg Max Increase |
3.88% |
5.44% |
6.22% |
6.07% |
5.79% |
4.45% |
5.31% |
5.79% |
4.47% |
5.95% |
3.13% |
| 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 |
16 |
18 |
19 |
21 |
18 |
18 |
20 |
17 |
14 |
14 |
9 |
| Avg Max Decline |
-1.00% |
-0.59% |
-0.70% |
-1.77% |
-1.20% |
-1.46% |
-0.73% |
-1.20% |
-1.30% |
-1.08% |
-0.69% |
| Max Decline |
-5.72% |
-2.32% |
-2.02% |
-7.22% |
-5.77% |
-4.34% |
-1.81% |
-4.09% |
-2.75% |
-2.70% |
-2.07% |
| Avg Days to Max Decline |
10 |
6 |
7 |
14 |
7 |
10 |
3 |
7 |
4 |
8 |
2 |
| 2010 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
|
Yes |
|
Yes |
Yes |
Yes |
Yes |
No |
|
|
|
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 |
26 |
30 |
32 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
17 |
16 |
19 |
20 |
17 |
11 |
15 |
18 |
16 |
24 |
17 |
| Penetrated Low |
13 |
11 |
16 |
17 |
9 |
9 |
12 |
14 |
15 |
21 |
12 |
| Scenario Percentage |
76% |
69% |
84% |
85% |
53% |
82% |
80% |
78% |
94% |
88% |
71% |
| Avg Max Decline |
4.31% |
4.47% |
3.95% |
3.06% |
4.20% |
4.17% |
3.99% |
4.62% |
6.22% |
3.75% |
6.56% |
| Max Decline |
9.60% |
9.91% |
7.87% |
8.04% |
6.14% |
9.10% |
6.74% |
11.72% |
12.52% |
8.95% |
26.92% |
| Avg Days To Max Decline |
19 |
16 |
15 |
15 |
18 |
15 |
17 |
19 |
19 |
9 |
10 |
| Avg Max Increase |
-0.77% |
-1.35% |
-0.18% |
-1.29% |
-1.05% |
-1.80% |
-0.68% |
-1.38% |
-1.22% |
-1.15% |
-0.79% |
| Max Increase |
-2.32% |
-3.86% |
-2.84% |
-4.67% |
-3.30% |
-4.75% |
-2.11% |
-5.35% |
-4.51% |
-3.76% |
-2.34% |
| Avg Days to Max Increase |
7 |
14 |
8 |
8 |
5 |
9 |
7 |
11 |
6 |
6 |
-56 |
| 2010 Contract Condition |
Yes |
|
Yes |
|
|
|
|
|
Yes |
Yes |
Yes |
| Action |
No |
|
No |
|
|
|
|
|
Yes |
Yes |
Yes |
| High |
89.20 |
94.06 |
94.72 |
94.26 |
94.93 |
98.65 |
99.71 |
100.91 |
100.45 |
98.75 |
95.28 |
| Low |
86.19 |
88.35 |
91.40 |
91.89 |
92.26 |
93.87 |
95.87 |
96.83 |
95.22 |
93.97 |
91.76 |
| Close/Last |
88.35 |
94.06 |
92.50 |
93.90 |
94.57 |
96.69 |
97.64 |
99.45 |
96.69 |
94.29 |
93.08 |
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