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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 26 28 31 33 33 33 33 33 33 33 33
Closed Higher 9 14 13 14 15 15 13 17 23 19 16
Exceeded High 7 10 10 11 9 13 12 15 19 12 12
Scenario Percentage 78% 71% 77% 79% 60% 87% 92% 88% 83% 63% 75%
Avg Max Increase 6.25% 3.81% 5.01% 3.63% 7.10% 6.82% 6.18% 5.79% 4.47% 4.78% 2.36%
Max Increase 14.24% 11.04% 8.65% 9.43% 14.68% 16.98% 18.03% 11.77% 11.82% 9.17% 5.00%
Avg Days To Max Increase 19 19 16 17 20 16 21 17 17 11 8
Avg Max Decline -0.59% -1.67% -1.56% -1.31% -0.89% -0.72% -1.85% -1.42% -1.40% -0.74% -0.52%
Max Decline -1.32% -7.48% -3.53% -5.96% -2.27% -2.40% -7.31% -5.63% -4.51% -1.81% -2.23%
Avg Days to Max Decline 10 8 5 10 8 7 14 8 11 3 3
2007 Contract Condition   Yes   Yes     Yes   Yes Yes Yes
Action   Yes   No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 26 28 31 33 33 33 33 33 33 33 33
Closed Lower 17 14 18 19 18 18 20 16 10 14 17
Penetrated Low 14 11 16 14 13 16 15 9 8 11 11
Scenario Percentage 82% 79% 89% 74% 72% 89% 75% 56% 80% 79% 65%
Avg Max Decline 3.83% 4.96% 3.96% 5.19% 4.47% 4.06% 3.46% 3.84% 3.52% 3.56% 5.06%
Max Decline 8.37% 12.55% 9.79% 9.67% 10.11% 7.86% 7.30% 6.07% 6.77% 7.78% 27.68%
Avg Days To Max Decline 19 20 21 21 17 16 17 16 14 9 9
Avg Max Increase -1.18% -1.15% -1.36% -1.14% -1.29% -0.51% -1.39% -1.00% -2.05% -0.70% -0.67%
Max Increase -3.95% -5.62% -3.63% -4.25% -3.67% -3.38% -4.14% -2.63% -5.15% -2.00% -3.10%
Avg Days to Max Increase 9 11 7 7 11 6 10 4 9 3 4
2007 Contract Condition Yes   Yes   Yes Yes   Yes      
Action No   Yes   Yes No   No      
High 84.82 84.06 84.55 84.78 84.40 83.43 84.47 85.36 86.50 86.80 92.00
Low 81.72 81.75 82.73 83.13 82.44 81.32 82.69 82.59 83.00 84.47 86.16
Close/Last 82.45 83.98 83.94 84.25 82.84 82.82 83.97 83.58 86.45 86.71 88.52

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