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