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MRCI's ScenarioSM Study
ScenarioSM Study for September Swiss Franc(CME) as of Oct 24, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 14 23 27 28 28 29 29 29 29 29 29
Closed Higher 7 10 17 9 14 14 13 13 14 12 15
Exceeded High 3 7 14 8 9 11 11 8 12 11 10
Scenario Percentage 43% 70% 82% 89% 64% 79% 85% 62% 86% 92% 67%
Avg Max Increase 3.10% 7.50% 4.23% 5.93% 4.24% 3.99% 3.56% 7.74% 7.11% 4.77% 2.80%
Max Increase 3.46% 11.22% 11.41% 14.48% 10.90% 8.26% 9.28% 14.97% 16.68% 10.45% 6.57%
Avg Days To Max Increase 9 15 14 21 23 14 17 22 16 12 8
Avg Max Decline 0.87% -0.76% -1.02% -0.83% -1.79% -1.44% -1.36% -0.95% -0.72% -1.48% -0.64%
Max Decline 0.83% -4.06% -2.88% -1.84% -7.41% -3.95% -6.04% -2.46% -2.43% -3.70% -2.58%
Avg Days to Max Decline 1 6 4 11 13 6 9 7 8 7 2
2003 Contract Condition     Yes Yes Yes     Yes      
Action     Yes Yes Yes     No      
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 14 23 27 28 28 29 29 29 29 29 29
Closed Lower 7 13 10 19 14 15 16 16 14 17 14
Penetrated Low 4 10 10 17 13 15 12 10 13 13 12
Scenario Percentage 57% 77% 100% 89% 93% 100% 75% 63% 93% 76% 86%
Avg Max Decline 2.72% 4.57% 6.88% 4.76% 4.38% 3.98% 5.17% 4.98% 4.41% 3.27% 6.50%
Max Decline 5.50% 11.68% 12.47% 11.73% 12.31% 8.93% 9.97% 9.95% 7.79% 7.32% 17.02%
Avg Days To Max Decline 15 23 18 20 17 19 20 16 16 16 13
Avg Max Increase 0.25% -2.01% -0.72% -1.51% -1.42% -1.41% -1.17% -1.26% -0.57% -1.18% -1.31%
Max Increase -0.33% -7.34% -2.67% -3.85% -5.83% -4.37% -4.15% -2.39% -3.46% -4.06% -4.05%
Avg Days to Max Increase 1 13 6 14 10 8 8 10 5 7 4
2003 Contract Condition Yes Yes       Yes Yes   Yes Yes Yes
Action No No       Yes No   Yes Yes Yes
High 68.22 69.73 72.76 74.33 74.54 75.72 74.06 78.37 77.39 74.95 74.43
Low 66.68 67.61 68.08 71.75 72.93 71.65 71.51 74.08 73.68 72.16 70.15
Close/Last 68.11 67.79 72.76 73.62 74.27 74.20 74.06 77.28 74.06 73.02 71.25