MRCI's ScenarioSM Study

ScenarioSM Study for September British Pound(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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	19	21	24	34	34	35	35	35	35	35	35
Closed Higher	9	7	15	13	17	18	20	14	20	18	17
Exceeded High	7	6	9	9	12	15	14	12	17	11	11
Scenario Percentage	78%	86%	60%	69%	71%	83%	70%	86%	85%	61%	65%
Avg Max Increase	3.46%	4.65%	3.47%	3.19%	4.18%	3.89%	4.65%	6.44%	4.16%	3.26%	2.38%
Max Increase	6.62%	9.04%	7.13%	8.91%	9.44%	12.83%	12.95%	12.65%	13.11%	10.35%	7.99%
Avg Days To Max Increase	15	16	17	14	15	18	25	22	18	10	9
Avg Max Decline	-0.80%	-1.26%	-0.18%	-0.88%	-0.74%	-1.22%	-0.87%	-1.42%	-0.64%	-1.09%	-0.33%
Max Decline	-2.44%	-2.87%	-1.25%	-3.13%	-2.55%	-4.48%	-2.59%	-3.02%	-3.08%	-3.63%	-1.60%
Avg Days to Max Decline	8	10	3	6	4	6	9	7	9	7	4
2009 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	19	21	24	34	34	35	35	35	35	35	35
Closed Lower	9	14	9	21	17	17	15	21	15	17	18
Penetrated Low	6	7	8	16	13	13	15	15	12	13	13
Scenario Percentage	67%	50%	89%	76%	76%	76%	100%	71%	80%	76%	72%
Avg Max Decline	4.45%	4.58%	5.32%	3.54%	3.86%	3.94%	5.09%	4.93%	3.38%	3.61%	7.35%
Max Decline	10.06%	12.22%	11.58%	7.99%	12.12%	8.21%	11.56%	12.29%	9.00%	11.74%	18.08%
Avg Days To Max Decline	23	18	18	18	18	18	15	15	11	12	14
Avg Max Increase	-0.85%	-1.35%	-0.75%	-0.65%	-1.13%	-0.94%	-0.78%	-0.83%	-1.03%	-0.98%	-0.75%
Max Increase	-4.68%	-3.12%	-5.20%	-3.23%	-3.05%	-3.41%	-2.18%	-2.34%	-3.47%	-3.52%	-2.11%
Avg Days to Max Increase	3	10	3	5	11	8	6	3	7	6	6
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes						Yes
Action	Yes	Yes	Yes	No	Yes						Yes
High	176.27	159.87	156.73	153.13	149.27	147.84	150.62	161.99	167.42	167.33	170.43
Low	154.69	146.73	143.79	135.26	140.81	137.00	143.15	147.88	157.95	159.81	161.52
Close/Last	159.87	154.09	145.56	144.47	143.27	143.57	148.23	161.32	164.63	166.87	162.66