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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, 2013
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   15 15 15 20 21 23 26 26 26 26 26
Closed Higher   10 8 7 9 15 12 19 10 15 14 13
Exceeded High   9 6 7 7 14 10 16 10 13 11 8
Scenario Percentage   90% 75% 100% 78% 93% 83% 84% 100% 87% 79% 62%
Avg Max Increase   3.84% 4.43% 3.04% 4.11% 5.01% 6.17% 4.48% 3.05% 3.99% 2.79% 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   20 13 14 15 19 18 17 14 16 13 11
Avg Max Decline   -0.66% -1.15% -0.90% -0.17% -1.36% -0.75% -0.79% -1.09% -1.22% -1.37% -0.84%
Max Decline   -2.13% -3.83% -3.36% -0.83% -5.29% -1.82% -4.12% -3.37% -4.56% -2.99% -2.28%
Avg Days to Max Decline   6 10 10 4 10 4 5 10 7 15 3
2012 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes  
Action   No   Yes Yes Yes   No   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   15 15 15 20 21 23 26 26 26 26 26
Closed Lower   5 7 8 11 6 11 7 16 11 12 13
Penetrated Low   4 4 4 8 5 7 7 12 5 10 6
Scenario Percentage   80% 57% 50% 73% 83% 64% 100% 75% 45% 83% 46%
Avg Max Decline   3.37% 3.45% 2.85% 3.37% 5.36% 5.19% 4.80% 2.43% 5.72% 5.10% 3.86%
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 11 21 19 20 14 13 14 10
Avg Max Increase   -1.45% -2.22% -1.88% -1.46% -0.66% -0.65% -1.42% -1.02% -1.23% -1.36% -0.19%
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 5 6 14 11 7 12 9 2
2012 Contract Condition     Yes       Yes   Yes     Yes
Action     No       Yes   Yes     Yes
High 103.27 103.61 102.40 100.13 104.05 105.41 105.57 103.25 102.80 101.85 104.92 105.78
Low 93.71 91.07 94.37 96.52 99.84 103.75 101.44 100.77 95.92 94.99 100.40 102.62
Close/Last 93.71 102.40 99.88 100.12 103.75 105.25 101.74 102.77 96.56 101.69 104.68 103.11

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