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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(CME) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 30 32 32 33 33 33 33 33 33 33 33
Closed Higher 19 15 20 14 20 22 16 12 17 11 16
Exceeded High 17 8 14 9 17 16 11 11 15 10 10
Scenario Percentage 89% 53% 70% 64% 85% 73% 69% 92% 88% 91% 62%
Avg Max Increase 2.10% 2.39% 1.91% 3.18% 2.82% 2.66% 2.04% 1.86% 1.91% 1.77% 1.53%
Max Increase 7.91% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 2.98%
Avg Days To Max Increase 21 18 22 22 18 16 14 20 17 9 10
Avg Max Decline -0.62% -0.65% -0.50% -0.25% -0.49% -0.41% -0.47% -1.04% -0.74% -0.74% -0.29%
Max Decline -2.05% -1.45% -1.87% -0.69% -2.56% -2.06% -2.24% -3.31% -4.63% -2.04% -1.31%
Avg Days to Max Decline 9 10 10 10 5 8 3 14 8 8 2
2009 Contract Condition Yes Yes       Yes     Yes    
Action Yes No       No     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 30 32 32 33 33 33 33 33 33 33 33
Closed Lower 11 17 12 19 13 11 16 21 16 22 17
Penetrated Low 9 8 8 13 9 11 11 17 13 18 13
Scenario Percentage 82% 47% 67% 68% 69% 100% 69% 81% 81% 82% 76%
Avg Max Decline 1.73% 2.84% 3.45% 2.15% 4.25% 1.68% 2.68% 2.38% 2.17% 2.36% 4.50%
Max Decline 3.34% 4.42% 8.04% 5.52% 17.72% 3.91% 7.78% 4.78% 4.53% 5.91% 16.57%
Avg Days To Max Decline 13 19 19 17 19 17 17 19 15 11 9
Avg Max Increase -0.30% -0.29% -0.78% -0.24% -0.79% -0.69% -0.80% -0.50% -0.53% -0.37% -0.57%
Max Increase -1.75% -1.16% -2.62% -1.56% -3.43% -1.89% -4.44% -2.60% -1.35% -1.49% -1.94%
Avg Days to Max Increase 3 6 8 6 12 8 7 8 10 3 -52
2009 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes
Action     Yes Yes Yes   Yes Yes   Yes Yes
High 99.55 101.46 100.45 100.62 97.56 97.13 94.88 87.12 84.55 85.23 82.48
Low 96.28 97.59 96.96 97.22 93.39 92.17 77.27 77.00 76.93 78.30 78.40
Close/Last 99.41 100.45 98.05 97.56 93.91 94.29 83.42 80.79 82.24 81.34 78.75

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