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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 10 10 11 19 19 20 22 22 22 22 23
Closed Higher 8 3 7 7 9 11 13 13 12 10 15
Exceeded High 8 3 5 7 8 9 12 10 9 9 10
Scenario Percentage 100% 100% 71% 100% 89% 82% 92% 77% 75% 90% 67%
Avg Max Increase 3.38% 3.16% 2.93% 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 19 7 12 15 18 15 17 15 20 12 10
Avg Max Decline -0.87% -0.45% -0.11% -1.89% -0.83% -0.83% -0.82% -1.05% -1.46% -0.50% -0.39%
Max Decline -3.75% -2.01% -1.09% -8.21% -2.10% -2.21% -2.40% -4.07% -4.04% -1.04% -2.50%
Avg Days to Max Decline 6 5 5 16 6 10 4 7 10 4 3
2009 Contract Condition Yes Yes Yes           Yes   Yes
Action Yes Yes Yes           No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 10 10 11 19 19 20 22 22 22 22 23
Closed Lower 2 7 4 12 10 9 9 9 10 12 8
Penetrated Low 2 4 2 10 7 6 7 7 6 7 5
Scenario Percentage 100% 57% 50% 83% 70% 67% 78% 78% 60% 58% 62%
Avg Max Decline 3.83% 1.66% 8.28% 5.30% 8.07% 6.91% 2.92% 3.04% 3.77% 3.69% 3.10%
Max Decline 4.99% 2.99% 10.36% 15.75% 28.73% 23.67% 7.61% 7.25% 6.27% 10.68% 6.75%
Avg Days To Max Decline 17 12 16 16 24 20 18 19 18 8 7
Avg Max Increase -1.90% -1.69% -1.68% -1.18% -0.89% -1.02% -1.47% -1.93% -1.68% -1.01% -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 10 5 15 21 10 6 1
2009 Contract Condition       Yes Yes Yes Yes Yes   Yes  
Action       Yes Yes Yes No No   Yes  
High 91.28 92.60 93.28 95.23 91.61 83.84 79.23 69.50 74.50 72.30 68.32
Low 86.19 89.15 90.18 91.53 83.26 77.18 59.75 60.48 62.50 63.26 62.31
Close/Last 90.83 92.03 92.69 91.61 83.84 78.28 66.18 65.30 69.97 63.36 64.27

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