|
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 |
|
|
|
|
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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