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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 12 12 12 19 20 21 22 23 23 23 23
Closed Higher 5 8 5 13 8 10 10 13 12 14 14
Exceeded High 4 7 5 12 7 8 10 12 11 13 9
Scenario Percentage 80% 88% 100% 92% 88% 80% 100% 92% 92% 93% 64%
Avg Max Increase 4.80% 5.20% 6.72% 4.46% 2.65% 3.05% 3.24% 4.40% 4.57% 3.94% 1.71%
Max Increase 5.69% 13.48% 15.16% 12.59% 5.02% 5.82% 6.44% 11.04% 9.75% 8.12% 4.11%
Avg Days To Max Increase 14 21 20 18 15 18 19 18 14 11 9
Avg Max Decline -0.33% -1.85% -0.76% -0.71% -1.13% -1.38% -1.92% -1.27% -1.10% -0.70% -0.45%
Max Decline -0.84% -5.28% -1.76% -4.00% -3.41% -4.51% -10.20% -3.23% -3.12% -2.43% -1.25%
Avg Days to Max Decline 3 11 4 5 13 8 14 7 9 3 3
2009 Contract Condition   Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes Yes Yes Yes Not Yet
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 12 12 12 19 20 21 22 23 23 23 23
Closed Lower 7 4 7 6 12 11 12 10 11 9 9
Penetrated Low 4 3 4 6 10 6 10 7 7 7 4
Scenario Percentage 57% 75% 57% 100% 83% 55% 83% 70% 64% 78% 44%
Avg Max Decline 4.50% 6.26% 4.91% 4.13% 2.63% 4.67% 5.65% 8.29% 6.97% 2.53% 7.14%
Max Decline 11.65% 8.78% 10.14% 10.10% 6.18% 11.65% 16.33% 29.41% 24.23% 5.75% 18.64%
Avg Days To Max Decline 10 19 14 21 15 12 16 24 23 16 10
Avg Max Increase -2.62% -0.58% -0.35% -1.38% -1.41% -1.01% -1.26% -1.09% -1.48% -1.31% -0.92%
Max Increase -6.58% -0.74% -1.53% -2.41% -4.71% -2.36% -5.96% -3.09% -3.42% -2.10% -2.60%
Avg Days to Max Increase 9 5 7 12 11 10 9 11 7 8 7
2009 Contract Condition Yes                    
Action Yes                    
High 71.10 66.76 69.41 72.05 79.02 81.12 82.80 83.99 87.94 92.82 93.82
Low 62.64 62.33 62.24 68.62 72.05 76.96 76.15 80.77 81.74 85.00 88.82
Close/Last 62.64 63.49 68.62 72.05 78.84 79.75 82.62 83.59 87.74 89.69 91.30

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