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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Swiss Franc(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 21 23 27 32 32 32 32 32 32 32 32
Closed Higher 5 15 18 17 15 18 10 16 15 15 14
Exceeded High 4 14 16 9 12 14 8 11 12 11 7
Scenario Percentage 80% 93% 89% 53% 80% 78% 80% 69% 80% 73% 50%
Avg Max Increase 9.03% 5.43% 4.14% 5.88% 5.85% 4.50% 5.97% 3.66% 4.36% 2.84% 2.10%
Max Increase 18.85% 12.61% 11.13% 12.27% 11.00% 11.11% 14.44% 10.82% 8.87% 4.65% 4.08%
Avg Days To Max Increase 19 17 18 21 16 14 21 21 16 10 8
Avg Max Decline -0.30% -1.15% -0.97% -0.18% -1.06% -1.29% -0.90% -1.94% -1.42% -0.80% -0.41%
Max Decline -1.60% -4.88% -4.15% -1.21% -4.07% -2.86% -1.97% -7.31% -3.91% -2.18% -1.20%
Avg Days to Max Decline 7 12 11 3 6 4 11 12 6 3 1
2007 Contract Condition       Yes Yes     Yes   Yes  
Action       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 21 23 27 32 32 32 32 32 32 32 32
Closed Lower 16 8 9 15 16 14 22 16 17 17 18
Penetrated Low 12 6 7 10 13 14 19 15 17 13 14
Scenario Percentage 75% 75% 78% 67% 81% 100% 86% 94% 100% 76% 78%
Avg Max Decline 2.56% 3.27% 3.31% 3.81% 4.51% 6.12% 4.72% 4.26% 3.96% 4.36% 4.08%
Max Decline 7.04% 5.95% 5.27% 6.83% 11.57% 12.36% 12.27% 11.84% 8.28% 7.01% 11.05%
Avg Days To Max Decline 12 14 14 16 20 19 17 17 20 16 12
Avg Max Increase -1.04% -0.46% -1.67% -0.41% -1.44% -1.10% -1.56% -1.41% -1.48% -1.12% -1.16%
Max Increase -4.02% -1.38% -4.22% -1.71% -5.28% -4.57% -3.82% -5.47% -4.41% -4.15% -7.02%
Avg Days to Max Increase 7 5 10 9 11 6 11 13 10 5 6
2007 Contract Condition Yes Yes Yes     Yes Yes   Yes   Yes
Action Yes Yes Yes     Yes No   Yes   Yes
High 84.75 84.40 83.61 82.45 85.04 85.53 83.70 83.11 83.77 83.75 83.32
Low 82.28 82.85 81.66 80.15 81.24 82.69 80.44 80.55 81.62 81.87 81.28
Close/Last 83.92 83.58 81.97 82.18 84.93 83.17 81.35 82.88 82.83 83.14 81.73

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