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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December British Pound(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 21 24 28 31 32 32 32 32 32 32 32
Closed Higher 8 11 15 15 13 17 16 15 17 17 15
Exceeded High 5 6 12 11 11 15 11 12 13 13 10
Scenario Percentage 62% 55% 80% 73% 85% 88% 69% 80% 76% 76% 67%
Avg Max Increase 3.57% 5.77% 3.41% 4.06% 6.56% 4.35% 3.05% 4.10% 4.86% 3.73% 1.59%
Max Increase 9.26% 10.03% 6.98% 8.51% 12.46% 13.09% 5.74% 8.90% 10.00% 7.62% 3.58%
Avg Days To Max Increase 17 18 19 22 21 18 17 16 17 11 8
Avg Max Decline -1.33% -0.60% -1.42% -0.53% -1.34% -0.48% -1.87% -0.81% -0.72% -0.81% -0.60%
Max Decline -3.15% -2.48% -4.69% -1.88% -3.08% -3.03% -8.29% -2.69% -3.28% -2.30% -2.54%
Avg Days to Max Decline 6 6 7 7 7 8 9 9 7 4 2
2006 Contract Condition Yes     Yes Yes   Yes Yes   Yes Yes
Action No     Yes No   Yes No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 21 24 28 31 32 32 32 32 32 32 32
Closed Lower 13 13 13 16 19 15 16 16 14 15 17
Penetrated Low 10 9 11 16 14 12 12 10 11 9 9
Scenario Percentage 77% 69% 85% 100% 74% 80% 75% 62% 79% 60% 53%
Avg Max Decline 3.23% 2.92% 4.14% 5.00% 5.20% 3.48% 3.76% 2.97% 4.53% 3.07% 4.87%
Max Decline 7.83% 7.75% 8.79% 12.33% 12.04% 8.74% 7.02% 6.76% 14.45% 5.61% 21.31%
Avg Days To Max Decline 19 15 16 14 18 11 17 13 22 16 11
Avg Max Increase -0.65% -1.18% -0.60% -0.69% -1.18% -0.99% -1.16% -0.56% -1.22% -0.45% -1.43%
Max Increase -2.90% -2.99% -2.05% -2.18% -5.43% -3.37% -3.70% -1.55% -3.20% -0.95% -3.79%
Avg Days to Max Increase 6 12 5 6 6 7 10 4 11 3 7
2006 Contract Condition   Yes Yes     Yes     Yes    
Action   Yes No     No     Yes    
High 179.33 178.58 176.60 182.98 190.60 189.11 187.41 191.90 191.03 191.10 197.03
Low 174.80 174.29 173.32 173.42 183.03 181.68 182.48 186.83 186.25 185.29 188.40
Close/Last 178.62 176.15 174.28 182.80 187.58 185.49 187.36 190.74 187.30 190.82 196.62

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