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