|
 |
| 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 |
|
|
|
|
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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|
