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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Australian Dollar(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   9 9 10 18 18 19 21 21 21 21 22
Closed Higher   7 2 6 7 9 11 13 13 11 10 14
Exceeded High   7 2 4 7 8 9 12 10 9 9 10
Scenario Percentage   100% 100% 67% 100% 89% 82% 92% 77% 82% 90% 71%
Avg Max Increase   3.48% 3.00% 2.98% 2.81% 4.04% 4.57% 4.26% 3.66% 3.94% 3.30% 1.86%
Max Increase   7.72% 4.57% 5.30% 5.49% 10.05% 9.77% 8.20% 8.64% 9.59% 6.19% 2.79%
Avg Days To Max Increase   17 4 11 15 18 15 17 15 20 12 10
Avg Max Decline   -0.73% 0.33% 0.04% -1.89% -0.83% -0.83% -0.82% -1.05% -1.46% -0.50% -0.39%
Max Decline   -3.75% 0.00% -1.09% -8.21% -2.10% -2.21% -2.40% -4.07% -4.04% -1.04% -2.50%
Avg Days to Max Decline   7 2 4 16 6 10 4 7 10 4 3
2008 Contract Condition   Yes   Yes Yes   Yes Yes     Yes Yes
Action   Yes   Yes Yes   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   9 9 10 18 18 19 21 21 21 21 22
Closed Lower   2 7 4 11 9 8 8 8 10 11 8
Penetrated Low   2 4 2 9 6 5 7 7 6 6 5
Scenario Percentage   100% 57% 50% 82% 67% 63% 88% 88% 60% 55% 63%
Avg Max Decline   3.83% 1.66% 8.28% 4.14% 4.63% 3.56% 2.92% 3.04% 3.77% 4.02% 2.30%
Max Decline   4.99% 2.99% 10.36% 8.62% 11.07% 6.46% 7.61% 7.25% 6.27% 10.68% 6.75%
Avg Days To Max Decline   17 12 16 16 23 19 18 19 18 9 6
Avg Max Increase   -1.90% -1.69% -1.68% -1.31% -1.04% -0.99% -1.47% -1.93% -1.68% -1.13% -0.25%
Max Increase   -2.19% -4.56% -2.41% -5.49% -2.73% -1.84% -1.99% -4.96% -5.09% -2.54% -0.96%
Avg Days to Max Increase   5 9 12 9 11 5 15 21 10 6 1
2008 Contract Condition     Yes     Yes     Yes Yes    
Action     No     No     Yes Yes    
High 80.02 82.76 82.62 84.30 88.00 85.61 88.15 92.59 93.26 88.62 89.72 94.81
Low 75.95 80.15 81.07 82.29 84.21 77.93 81.19 86.81 85.87 85.08 84.69 88.36
Close/Last 79.85 82.12 82.05 84.08 84.90 80.97 88.13 92.59 87.69 87.26 89.28 93.06

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