MRCI's ScenarioSM Study

ScenarioSM Study for December Australian Dollar(CME) as of Dec 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		14	14	14	21	22	23	24	25	25	25	25
Closed Higher		5	10	7	15	8	12	12	13	13	16	14
Exceeded High		4	9	7	12	7	10	11	12	12	14	9
Scenario Percentage		80%	90%	100%	80%	88%	83%	92%	92%	92%	88%	64%
Avg Max Increase		4.80%	5.51%	5.98%	4.46%	2.65%	3.75%	3.72%	4.40%	4.67%	3.97%	1.74%
Max Increase		5.69%	13.48%	15.16%	12.59%	5.02%	9.61%	8.52%	11.04%	9.75%	8.12%	4.11%
Avg Days To Max Increase		14	21	16	18	15	18	20	18	13	11	9
Avg Max Decline		-0.33%	-1.81%	-0.58%	-0.71%	-1.13%	-1.43%	-1.99%	-1.27%	-1.12%	-0.65%	-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	3	5	13	7	15	7	8	3	3
2011 Contract Condition			Yes	Yes	Yes		Yes	Yes			Yes
Action			Yes	Yes	No		Yes	No			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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		14	14	14	21	22	23	24	25	25	25	25
Closed Lower		9	4	7	6	14	11	12	12	12	9	11
Penetrated Low		5	3	4	6	11	6	10	8	8	7	4
Scenario Percentage		56%	75%	57%	100%	79%	55%	83%	67%	67%	78%	36%
Avg Max Decline		4.03%	6.26%	4.91%	4.13%	2.57%	4.67%	5.65%	8.73%	6.50%	2.64%	2.09%
Max Decline		11.65%	8.78%	10.14%	10.10%	6.18%	11.65%	16.33%	29.41%	24.23%	6.50%	3.69%
Avg Days To Max Decline		9	19	14	21	16	12	16	21	20	16	9
Avg Max Increase		-2.23%	-0.58%	-0.35%	-1.38%	-1.35%	-1.01%	-1.26%	-1.05%	-1.29%	-1.31%	-0.51%
Max Increase		-6.58%	-0.74%	-1.53%	-2.41%	-4.71%	-2.36%	-5.96%	-3.09%	-3.42%	-2.10%	-1.00%
Avg Days to Max Increase		7	5	7	12	11	10	9	10	7	8	4
2011 Contract Condition		Yes				Yes			Yes	Yes		Yes
Action		No				Yes			Yes	Yes		Not Yet
High	97.75	97.36	98.15	100.36	106.51	106.51	105.30	108.75	108.66	106.30	106.87	105.07
Low	91.57	94.52	95.76	94.83	100.14	102.00	101.89	103.30	97.95	95.24	93.02	96.33
Close/Last	97.75	95.76	98.15	100.36	106.51	103.90	105.07	108.08	105.52	96.11	105.31	102.39