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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March British Pound(CME) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 23 28 35 35 35 35 35 35 35 35
Closed Higher   13 9 14 18 16 20 19 15 20 14 17
Exceeded High   10 7 11 12 11 16 15 13 13 8 9
Scenario Percentage   77% 78% 79% 67% 69% 80% 79% 87% 65% 57% 53%
Avg Max Increase   3.76% 5.38% 3.11% 2.82% 4.54% 5.23% 4.17% 3.92% 3.30% 3.26% 2.21%
Max Increase   12.74% 12.78% 11.10% 5.71% 9.32% 13.69% 9.95% 8.88% 7.68% 6.15% 5.08%
Avg Days To Max Increase   22 23 18 16 16 17 16 19 17 11 10
Avg Max Decline   -0.62% -1.31% -0.88% -1.66% -0.67% -0.63% -0.88% -1.39% -0.42% -0.76% -0.43%
Max Decline   -2.57% -2.83% -2.84% -8.60% -2.75% -3.41% -2.53% -4.03% -1.29% -2.61% -1.03%
Avg Days to Max Decline   10 9 10 9 10 7 6 10 3 6 2
2010 Contract Condition   Yes Yes Yes Yes     Yes        
Action   Yes Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 23 28 35 35 35 35 35 35 35 35
Closed Lower   8 14 14 17 19 15 16 20 15 21 18
Penetrated Low   8 9 10 14 12 12 11 12 13 16 12
Scenario Percentage   100% 64% 71% 82% 63% 80% 69% 60% 87% 76% 67%
Avg Max Decline   3.25% 5.02% 3.56% 4.17% 4.72% 5.79% 4.12% 4.16% 4.95% 3.47% 2.37%
Max Decline   6.46% 12.12% 8.32% 11.58% 15.28% 18.14% 10.72% 12.29% 10.36% 8.09% 4.89%
Avg Days To Max Decline   18 19 11 18 16 20 19 20 16 10 8
Avg Max Increase   -0.60% -0.64% -0.90% -0.98% -0.89% -0.84% -1.25% -1.58% -1.32% -0.72% -0.14%
Max Increase   -2.18% -2.29% -3.25% -3.52% -3.22% -1.77% -4.65% -6.17% -5.49% -3.34% -1.49%
Avg Days to Max Increase   6 5 9 11 8 8 7 7 8 6 3
2010 Contract Condition           Yes Yes   Yes Yes Yes Yes
Action           Yes Yes   Yes Yes Yes Yes
High 147.58 149.68 161.26 167.13 166.94 170.11 167.16 166.79 168.63 167.10 164.54 160.68
Low 137.95 143.75 148.25 159.59 160.06 161.79 157.73 157.08 162.58 158.25 158.90 151.50
Close/Last 143.75 148.25 161.26 164.54 166.84 162.64 160.01 164.36 164.12 161.46 159.86 152.45

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