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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 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 25 30 37 37 37 37 37 37 37 37
Closed Higher   15 9 15 20 16 21 21 15 21 16 19
Exceeded High   10 7 12 14 11 17 16 13 14 10 11
Scenario Percentage   67% 78% 80% 70% 69% 81% 76% 87% 67% 63% 58%
Avg Max Increase   3.76% 5.38% 3.41% 2.60% 4.54% 5.13% 4.02% 3.92% 3.39% 2.96% 1.90%
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 17 15 16 16 15 19 17 9 8
Avg Max Decline   -0.62% -1.31% -0.80% -1.54% -0.67% -0.62% -0.85% -1.39% -0.47% -0.71% -0.38%
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 8 10 7 6 10 3 7 2
2012 Contract Condition   Yes     Yes     Yes     Yes Yes
Action   No     Yes     No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 25 30 37 37 37 37 37 37 37 37
Closed Lower   8 16 15 17 21 16 16 22 16 21 18
Penetrated Low   8 10 11 14 14 13 11 14 14 16 13
Scenario Percentage   100% 63% 73% 82% 67% 81% 69% 64% 88% 76% 72%
Avg Max Decline   3.25% 4.84% 3.33% 4.17% 4.47% 5.51% 4.12% 3.88% 4.73% 3.50% 2.36%
Max Decline   6.46% 12.12% 8.32% 11.58% 15.28% 18.14% 10.72% 12.29% 10.36% 8.09% 5.78%
Avg Days To Max Decline   18 18 11 18 15 19 19 20 15 10 9
Avg Max Increase   -0.60% -0.58% -0.82% -0.98% -0.82% -0.77% -1.25% -1.54% -1.30% -0.72% -0.29%
Max Increase   -2.18% -2.29% -3.25% -3.52% -3.22% -1.77% -4.65% -6.17% -5.49% -3.34% -2.12%
Avg Days to Max Increase   6 5 9 11 7 8 7 9 8 6 3
2012 Contract Condition     Yes Yes   Yes Yes   Yes Yes    
Action     Yes Yes   Yes Yes   Yes Yes    
High 162.70 166.18 166.18 163.82 163.91 165.31 162.04 161.20 161.09 157.61 157.94 159.91
Low 158.92 159.57 160.46 159.23 158.63 161.30 153.12 152.67 154.15 153.50 152.22 156.41
Close/Last 159.57 166.18 163.80 160.15 163.91 162.04 155.97 161.09 156.84 155.00 157.49 159.19

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