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