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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 33 36 38 38 38 38 38 38 38 38
Closed Higher   11 17 17 15 17 19 16 20 26 22 18
Exceeded High   9 12 13 12 11 16 15 18 22 14 13
Scenario Percentage   82% 71% 76% 80% 65% 84% 94% 90% 85% 64% 72%
Avg Max Increase   6.23% 4.34% 5.00% 3.70% 6.66% 7.19% 6.48% 5.73% 4.32% 4.53% 2.35%
Max Increase   14.24% 11.04% 8.65% 9.43% 14.68% 18.56% 18.03% 11.77% 11.82% 9.17% 5.00%
Avg Days To Max Increase   19 20 17 18 19 16 21 17 18 12 8
Avg Max Decline   -0.80% -1.42% -1.51% -1.49% -0.77% -0.75% -1.78% -1.34% -1.28% -0.85% -0.57%
Max Decline   -2.60% -7.48% -3.53% -5.96% -2.27% -2.40% -7.31% -5.63% -4.51% -2.12% -2.23%
Avg Days to Max Decline   11 7 6 10 8 7 13 7 10 4 3
2012 Contract Condition   Yes Yes       Yes   Yes Yes Yes Yes
Action   Yes No       No   Yes Yes Yes Yes
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   31 33 36 38 38 38 38 38 38 38 38
Closed Lower   20 16 19 23 21 19 22 18 12 16 20
Penetrated Low   17 13 17 17 14 16 16 11 10 13 12
Scenario Percentage   85% 81% 89% 74% 67% 84% 73% 61% 83% 81% 60%
Avg Max Decline   3.59% 4.44% 4.13% 5.22% 4.34% 4.06% 3.76% 4.94% 4.06% 3.65% 1.88%
Max Decline   8.37% 12.55% 9.79% 9.67% 10.11% 7.86% 8.26% 13.81% 9.25% 7.78% 5.75%
Avg Days To Max Decline   18 20 22 19 18 16 17 16 16 9 7
Avg Max Increase   -1.14% -1.33% -1.28% -0.94% -1.46% -0.51% -1.33% -1.50% -2.28% -0.89% -0.30%
Max Increase   -3.95% -5.62% -3.63% -4.25% -3.67% -3.38% -4.14% -4.11% -5.61% -3.20% -1.16%
Avg Days to Max Increase   8 12 7 6 12 6 10 5 10 3 2
2012 Contract Condition       Yes Yes Yes   Yes        
Action       Yes Yes Yes   No        
High 110.67 110.19 112.39 111.26 111.17 110.61 107.30 105.89 105.46 108.38 108.61 108.37
Low 106.17 105.59 108.86 107.91 108.70 103.50 103.50 100.85 101.62 104.30 106.09 105.17
Close/Last 107.61 109.39 111.26 111.17 110.61 103.50 105.89 102.87 105.01 106.49 107.45 107.87

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