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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 24 27 37 37 38 38 38 38 38 38
Closed Higher   12 7 16 15 19 19 23 14 22 21 18
Exceeded High   9 6 10 11 14 16 15 12 19 14 12
Scenario Percentage   75% 86% 63% 73% 74% 84% 65% 86% 86% 67% 67%
Avg Max Increase   3.13% 4.65% 3.56% 2.99% 3.97% 3.77% 4.35% 6.44% 4.17% 3.05% 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   14 16 17 16 17 19 23 22 18 10 9
Avg Max Decline   -0.66% -1.26% -0.24% -0.81% -0.88% -1.22% -0.84% -1.42% -0.70% -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   7 10 3 10 7 6 8 7 9 6 4
2012 Contract Condition   Yes     Yes Yes Yes Yes   Yes Yes Yes
Action   No     Yes Yes Yes No   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   22 24 27 37 37 38 38 38 38 38 38
Closed Lower   9 17 11 22 18 19 15 24 16 17 20
Penetrated Low   6 10 10 17 14 14 15 17 13 13 10
Scenario Percentage   67% 59% 91% 77% 78% 74% 100% 71% 81% 76% 50%
Avg Max Decline   4.45% 3.93% 5.00% 3.77% 3.79% 4.10% 5.09% 4.64% 3.26% 3.76% 2.77%
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 19 18 18 18 18 15 14 11 13 8
Avg Max Increase   -0.85% -1.29% -0.85% -0.63% -1.11% -1.03% -0.78% -0.76% -0.99% -0.98% -0.36%
Max Increase   -4.68% -3.12% -5.20% -3.23% -3.05% -3.41% -2.18% -2.34% -3.47% -3.52% -1.04%
Avg Days to Max Increase   3 11 5 5 11 9 6 3 7 6 1
2012 Contract Condition     Yes Yes         Yes      
Action     Yes Yes         Yes      
High 161.68 160.79 160.79 156.66 157.22 159.10 160.11 162.76 162.20 157.73 157.67 159.12
Low 153.12 153.42 153.98 153.54 152.66 156.26 156.11 157.96 153.56 152.66 153.90 154.88
Close/Last 155.76 160.79 156.56 154.70 157.22 158.96 159.78 162.19 154.04 156.77 156.81 158.82

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