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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September British Pound(CME) as of May 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 Sep 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% 3.25% 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
2010 Contract Condition   Yes           Yes   Yes    
Action   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 Sep 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 7
Scenario Percentage   67% 50% 89% 76% 76% 76% 100% 71% 80% 76% 39%
Avg Max Decline   4.45% 4.58% 5.32% 3.54% 3.86% 3.94% 5.09% 4.93% 3.38% 3.57% 2.85%
Max Decline   10.06% 12.22% 11.58% 7.99% 12.12% 8.21% 11.56% 12.29% 9.00% 11.74% 6.70%
Avg Days To Max Decline   23 18 18 18 18 18 15 15 11 12 6
Avg Max Increase   -0.85% -1.35% -0.75% -0.65% -1.13% -0.94% -0.78% -0.83% -1.03% -0.66% -0.23%
Max Increase   -4.68% -3.12% -5.20% -3.23% -3.05% -3.41% -2.18% -2.34% -3.47% -2.57% -0.83%
Avg Days to Max Increase   3 10 3 5 11 8 6 3 7 5 1
2010 Contract Condition     Yes Yes Yes Yes Yes   Yes      
Action     Yes Yes Yes Yes Yes   Not Yet      
High 166.80 166.02 167.97 166.10 164.01 160.09 153.62 155.11 152.74 147.25    
Low 158.72 157.78 163.57 158.42 158.92 151.45 147.94 151.17 142.33 144.35    
Close/Last 159.98 164.17 163.90 161.30 159.64 152.28 151.66 152.68 144.92 146.66    

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