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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 12 12 12 17 18 20 23 23 23 23 23
Closed Higher 7 7 5 8 12 10 16 10 12 11 13
Exceeded High 7 5 5 6 11 8 15 10 10 9 8
Scenario Percentage 100% 71% 100% 75% 92% 80% 94% 100% 83% 82% 62%
Avg Max Increase 3.58% 4.86% 3.12% 4.50% 5.12% 6.61% 4.77% 3.05% 3.46% 2.78% 2.05%
Max Increase 6.89% 8.30% 6.67% 5.86% 14.85% 15.44% 13.38% 6.14% 6.46% 5.75% 2.99%
Avg Days To Max Increase 19 13 12 18 20 21 18 14 17 12 10
Avg Max Decline -0.64% -0.61% -0.54% -0.20% -1.39% -0.86% -0.82% -1.09% -1.13% -1.04% -0.84%
Max Decline -2.13% -3.21% -3.03% -0.83% -5.29% -1.82% -4.12% -3.37% -4.56% -2.22% -2.28%
Avg Days to Max Decline 3 8 10 4 11 4 5 10 7 12 3
2009 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes Yes
Action     Yes   Yes Yes Yes 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 12 12 12 17 18 20 23 23 23 23 23
Closed Lower 5 5 7 9 6 10 7 13 11 12 10
Penetrated Low 4 4 3 6 5 6 7 10 5 9 7
Scenario Percentage 80% 80% 43% 67% 83% 60% 100% 77% 45% 75% 70%
Avg Max Decline 3.37% 3.45% 2.69% 3.89% 5.36% 5.10% 4.80% 2.53% 5.72% 5.42% 9.24%
Max Decline 7.59% 7.05% 3.25% 11.67% 8.85% 10.49% 10.19% 6.31% 11.68% 15.72% 18.56%
Avg Days To Max Decline 22 21 10 11 21 17 20 14 13 13 13
Avg Max Increase -1.45% -2.22% -1.26% -1.42% -0.66% -0.51% -1.42% -1.12% -1.23% -0.85% -1.09%
Max Increase -1.54% -4.75% -2.26% -6.67% -0.89% -1.57% -2.27% -4.92% -2.41% -2.48% -3.41%
Avg Days to Max Increase 17 26 6 3 6 12 11 8 12 8 5
2009 Contract Condition Yes Yes   Yes              
Action No No   Yes              
High 77.95 68.46 71.40 71.42 67.05 70.15 73.16 79.56 82.04 83.43 84.63
Low 59.69 60.50 63.18 62.86 62.49 62.45 68.11 71.97 77.40 76.63 81.36
Close/Last 65.46 64.82 69.37 62.86 63.70 68.92 72.36 79.30 80.29 83.21 84.24

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