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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 30 34 37 38 38 38 38 38 38 38
Closed Higher   11 15 18 21 14 22 21 16 20 21 15
Exceeded High   7 10 15 14 12 20 15 13 15 16 10
Scenario Percentage   64% 67% 83% 67% 86% 91% 71% 81% 75% 76% 67%
Avg Max Increase   3.10% 4.48% 3.83% 4.18% 6.33% 4.06% 2.84% 3.99% 4.70% 3.41% 1.59%
Max Increase   9.26% 10.03% 12.46% 12.84% 12.46% 13.09% 5.74% 8.90% 10.00% 7.62% 3.58%
Avg Days To Max Increase   19 19 20 22 22 17 15 16 16 11 8
Avg Max Decline   -1.06% -1.00% -1.24% -0.64% -1.39% -0.68% -1.58% -0.77% -0.72% -0.77% -0.60%
Max Decline   -3.15% -2.48% -4.69% -2.59% -3.08% -3.03% -8.29% -2.69% -3.28% -2.30% -2.54%
Avg Days to Max Decline   12 9 7 6 7 7 8 8 8 4 2
2012 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes    
Action   Yes Yes Yes No   Yes Yes Yes No    
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 30 34 37 38 38 38 38 38 38 38
Closed Lower   16 15 16 16 24 16 17 21 17 17 23
Penetrated Low   12 11 13 16 17 13 13 14 14 11 10
Scenario Percentage   75% 73% 81% 100% 71% 81% 76% 67% 82% 65% 43%
Avg Max Decline   3.50% 3.03% 4.07% 5.00% 4.56% 3.33% 4.37% 3.96% 5.21% 3.61% 1.96%
Max Decline   7.83% 7.75% 8.79% 12.33% 12.04% 8.74% 11.74% 15.61% 18.44% 10.17% 5.87%
Avg Days To Max Decline   19 16 16 14 16 11 17 12 19 15 9
Avg Max Increase   -0.55% -1.03% -0.79% -0.69% -1.03% -0.95% -1.07% -0.92% -1.04% -0.54% -0.65%
Max Increase   -2.90% -2.99% -2.16% -2.18% -5.43% -3.37% -3.70% -3.24% -3.20% -1.60% -1.84%
Avg Days to Max Increase   5 12 7 6 5 7 9 5 9 3 2
2012 Contract Condition           Yes         Yes Yes
Action           Yes         Yes Not Yet
High 156.44 157.08 158.83 159.67 162.43 162.08 157.43 157.61 159.07 163.04 162.13 161.73
Low 153.43 152.53 156.12 156.01 158.04 153.80 153.45 154.01 154.90 158.21 159.09 158.22
Close/Last 154.58 157.08 158.83 159.67 162.08 153.99 156.73 156.80 158.78 161.36 161.27 160.23

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