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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 Apr 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   13 13 13 18 19 21 24 24 24 24 24
Closed Higher   8 8 5 8 13 11 17 10 13 12 13
Exceeded High   8 6 5 6 12 9 15 10 11 10 8
Scenario Percentage   100% 75% 100% 75% 92% 82% 88% 100% 85% 83% 62%
Avg Max Increase   3.66% 4.43% 3.12% 4.50% 5.10% 6.13% 4.77% 3.05% 4.02% 2.91% 2.10%
Max Increase   6.89% 8.30% 6.67% 5.86% 14.85% 15.44% 13.38% 6.14% 9.66% 5.75% 2.99%
Avg Days To Max Increase   18 13 12 18 19 20 18 14 16 13 11
Avg Max Decline   -0.56% -1.15% -0.54% -0.20% -1.27% -0.78% -0.82% -1.09% -1.16% -1.21% -0.84%
Max Decline   -2.13% -3.83% -3.03% -0.83% -5.29% -1.82% -4.12% -3.37% -4.56% -2.74% -2.28%
Avg Days to Max Decline   3 10 10 4 10 3 5 10 6 13 3
2011 Contract Condition   Yes   Yes   Yes Yes Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   13 13 13 18 19 21 24 24 24 24 24
Closed Lower   5 5 8 10 6 10 7 14 11 12 11
Penetrated Low   4 4 4 7 5 6 7 10 5 10 5
Scenario Percentage   80% 80% 50% 70% 83% 60% 100% 71% 45% 83% 45%
Avg Max Decline   3.37% 3.45% 2.85% 3.65% 5.36% 5.10% 4.80% 2.53% 5.72% 5.13% 4.39%
Max Decline   7.59% 7.05% 3.34% 11.67% 8.85% 10.49% 10.19% 6.31% 11.68% 15.72% 7.69%
Avg Days To Max Decline   22 21 9 10 21 17 20 14 13 15 12
Avg Max Increase   -1.45% -2.22% -1.88% -1.31% -0.66% -0.51% -1.42% -1.12% -1.23% -1.36% -0.23%
Max Increase   -1.54% -4.75% -3.74% -6.67% -0.89% -1.57% -2.27% -4.92% -2.41% -6.02% -1.11%
Avg Days to Max Increase   17 26 8 2 6 12 11 8 12 9 2
2011 Contract Condition     Yes   Yes       Yes      
Action     No   Yes              
High 92.75 95.24 97.37 98.93 98.93 99.32 101.49 107.81 108.06      
Low 84.93 92.40 92.63 92.63 95.61 96.88 95.50 101.02 107.39      
Close/Last 92.44 93.98 92.63 98.93 96.88 99.32 101.49 107.78 107.65      

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