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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   10 10 11 16 18 18 20 22 22 22 22
Closed Higher   3 4 6 11 11 9 9 14 11 15 9
Exceeded High   3 3 5 9 9 7 7 12 8 13 7
Scenario Percentage   100% 75% 83% 82% 82% 78% 78% 86% 73% 87% 78%
Avg Max Increase   3.00% 6.19% 6.21% 3.98% 3.69% 3.25% 4.12% 4.06% 5.11% 3.88% 1.47%
Max Increase   4.67% 9.57% 9.22% 7.04% 8.54% 7.74% 6.06% 9.06% 9.60% 7.62% 2.62%
Avg Days To Max Increase   21 29 19 20 16 18 16 21 21 9 5
Avg Max Decline   -3.69% -1.83% -0.59% -0.57% -0.77% -1.33% -0.37% -1.32% -0.84% -0.66% -0.24%
Max Decline   -8.29% -2.11% -1.52% -1.58% -3.20% -3.73% -1.05% -5.42% -1.83% -1.99% -1.19%
Avg Days to Max Decline   27 5 7 6 6 12 4 10 8 4 2
2008 Contract Condition   Yes   Yes Yes     Yes Yes   Yes Yes
Action   Yes   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   10 10 11 16 18 18 20 22 22 22 22
Closed Lower   7 6 5 5 7 8 11 8 11 7 13
Penetrated Low   6 2 3 5 5 5 6 6 7 7 8
Scenario Percentage   86% 33% 60% 100% 71% 63% 55% 75% 64% 100% 62%
Avg Max Decline   4.83% 6.34% 4.21% 3.01% 3.41% 2.88% 4.45% 4.61% 4.78% 4.75% 2.25%
Max Decline   8.73% 9.94% 6.48% 7.62% 7.24% 4.74% 11.76% 9.22% 10.75% 10.03% 6.17%
Avg Days To Max Decline   16 15 18 22 20 18 14 18 16 13 7
Avg Max Increase   -1.85% -0.49% -0.94% -1.41% -2.24% -0.87% -1.02% -0.71% -0.87% -1.32% 0.15%
Max Increase   -5.47% -1.05% -1.76% -1.68% -4.82% -2.56% -2.51% -1.13% -1.82% -2.29% -0.51%
Avg Days to Max Increase   10 3 6 15 21 5 6 5 18 6 2
2008 Contract Condition     Yes     Yes Yes     Yes    
Action     No     Yes Yes     No    
High 84.00 87.47 85.27 87.61 91.95 91.90 87.61 88.87 93.66 93.50 94.82 96.22
Low 82.06 83.68 77.58 80.72 86.28 85.38 84.52 83.92 87.38 88.52 89.38 92.24
Close/Last 83.78 84.59 80.62 87.61 91.95 87.03 86.65 88.31 91.90 90.41 94.11 95.45

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