MRCI's ScenarioSM Study

ScenarioSM Study for June 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	11	11	12	17	19	19	21	23	23	23	23
Closed Higher	3	4	6	11	11	10	9	15	12	16	10
Exceeded High	3	3	5	9	9	7	7	13	9	14	8
Scenario Percentage	100%	75%	83%	82%	82%	70%	78%	87%	75%	88%	80%
Avg Max Increase	3.00%	6.19%	6.21%	3.98%	3.69%	3.25%	4.12%	4.92%	6.28%	4.57%	1.72%
Max Increase	4.67%	9.57%	9.22%	7.04%	8.54%	7.74%	6.06%	15.17%	15.68%	13.56%	3.48%
Avg Days To Max Increase	21	29	19	20	16	18	16	22	22	9	4
Avg Max Decline	-3.69%	-1.83%	-0.59%	-0.57%	-0.77%	-1.33%	-0.37%	-1.39%	-0.91%	-0.66%	-0.30%
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	9	7	4	2
2009 Contract Condition						Yes		Yes	Yes	Yes	Yes
Action						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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	11	11	12	17	19	19	21	23	23	23	23
Closed Lower	8	7	6	6	8	8	12	8	11	7	13
Penetrated Low	7	3	4	5	5	5	7	6	7	7	10
Scenario Percentage	88%	43%	67%	83%	62%	62%	58%	75%	64%	100%	77%
Avg Max Decline	6.38%	13.50%	8.82%	3.01%	3.41%	2.88%	4.03%	4.61%	4.78%	4.73%	7.81%
Max Decline	15.68%	27.82%	22.66%	7.62%	7.24%	4.74%	11.76%	9.22%	10.75%	10.03%	24.34%
Avg Days To Max Decline	16	19	20	22	20	18	12	18	16	13	7
Avg Max Increase	-1.59%	-0.34%	-1.03%	-1.41%	-2.24%	-0.87%	-0.89%	-0.71%	-0.87%	-1.32%	-0.35%
Max Increase	-5.47%	-1.05%	-1.76%	-1.68%	-4.82%	-2.56%	-2.51%	-1.13%	-1.82%	-2.29%	-2.38%
Avg Days to Max Increase	9	9	5	15	21	5	6	5	18	6	3
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	No	No		Yes
High	94.09	90.64	83.09	78.55	68.78	73.98	71.82	67.89	70.60	73.63	80.10
Low	90.47	82.56	76.43	59.96	60.72	63.36	63.05	62.14	62.50	68.22	72.20
Close/Last	90.64	83.07	77.53	65.82	65.06	69.67	63.10	63.93	69.24	72.73	79.81