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