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| MRCI's ScenarioSM Study |
| ScenarioSM Study for December Swiss Franc(CME) as of Sep 30, 2009 |
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 |
27 |
29 |
32 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Higher |
10 |
15 |
14 |
14 |
15 |
16 |
13 |
17 |
23 |
19 |
16 |
| Exceeded High |
8 |
11 |
10 |
11 |
9 |
14 |
12 |
15 |
19 |
12 |
12 |
| Scenario Percentage |
80% |
73% |
71% |
79% |
60% |
88% |
92% |
88% |
83% |
63% |
75% |
| Avg Max Increase |
6.66% |
4.06% |
4.99% |
3.60% |
7.07% |
6.44% |
6.18% |
5.78% |
4.47% |
4.52% |
2.01% |
| Max Increase |
14.24% |
11.04% |
8.65% |
9.12% |
14.68% |
16.98% |
18.03% |
11.77% |
11.82% |
9.17% |
3.63% |
| Avg Days To Max Increase |
19 |
19 |
16 |
17 |
20 |
16 |
21 |
17 |
17 |
10 |
6 |
| Avg Max Decline |
-0.84% |
-1.39% |
-1.51% |
-1.31% |
-0.85% |
-0.73% |
-1.85% |
-1.42% |
-1.39% |
-0.74% |
-0.50% |
| Max Decline |
-2.60% |
-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 |
11 |
7 |
6 |
10 |
9 |
7 |
14 |
8 |
11 |
3 |
2 |
| 2009 Contract Condition |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
| Action |
|
|
Yes |
|
Yes |
|
Yes |
Yes |
Not Yet |
|
|
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 |
27 |
29 |
32 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Lower |
17 |
14 |
18 |
20 |
19 |
18 |
21 |
17 |
11 |
15 |
18 |
| Penetrated Low |
14 |
11 |
16 |
15 |
13 |
16 |
16 |
10 |
9 |
12 |
11 |
| Scenario Percentage |
82% |
79% |
89% |
75% |
68% |
89% |
76% |
59% |
82% |
80% |
61% |
| Avg Max Decline |
3.83% |
4.92% |
3.93% |
5.02% |
4.47% |
4.05% |
3.73% |
4.05% |
4.16% |
3.77% |
5.06% |
| Max Decline |
8.37% |
12.55% |
9.79% |
9.67% |
10.11% |
7.86% |
8.26% |
6.07% |
9.25% |
7.78% |
27.68% |
| Avg Days To Max Decline |
19 |
20 |
21 |
19 |
17 |
16 |
17 |
17 |
15 |
10 |
9 |
| Avg Max Increase |
-1.18% |
-1.13% |
-1.36% |
-1.06% |
-1.29% |
-0.50% |
-1.31% |
-1.24% |
-1.91% |
-0.68% |
-0.67% |
| Max Increase |
-3.95% |
-5.62% |
-3.63% |
-4.25% |
-3.67% |
-3.38% |
-4.14% |
-3.47% |
-5.15% |
-2.00% |
-3.06% |
| Avg Days to Max Increase |
9 |
11 |
7 |
7 |
11 |
7 |
10 |
5 |
8 |
3 |
4 |
| 2009 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
|
|
|
|
|
| Action |
Yes |
Yes |
|
No |
|
No |
|
|
|
|
|
| High |
94.40 |
88.05 |
90.03 |
89.29 |
94.07 |
94.55 |
94.33 |
95.07 |
98.19 |
|
|
| Low |
86.60 |
85.58 |
84.73 |
85.96 |
88.15 |
90.98 |
91.52 |
92.02 |
93.48 |
|
|
| Close/Last |
86.60 |
86.30 |
88.33 |
88.15 |
93.91 |
92.33 |
93.73 |
94.47 |
96.60 |
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