MRCI Online
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| ScenarioSM Study for March Canadian Dollar(CME) as of Dec 31, 2010 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
| Tested Years | 31 | 33 | 33 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | 34 | |
| Closed Higher | 20 | 16 | 20 | 15 | 20 | 23 | 16 | 13 | 18 | 11 | 17 | |
| Exceeded High | 18 | 9 | 14 | 10 | 17 | 17 | 11 | 12 | 16 | 10 | 11 | |
| Scenario Percentage | 90% | 56% | 70% | 67% | 85% | 74% | 69% | 92% | 89% | 91% | 65% | |
| Avg Max Increase | 2.55% | 2.30% | 1.91% | 3.04% | 2.82% | 2.78% | 2.04% | 1.98% | 1.94% | 1.74% | 1.69% | |
| Max Increase | 10.35% | 4.44% | 3.96% | 5.66% | 11.64% | 9.54% | 4.41% | 4.07% | 4.62% | 4.39% | 3.58% | |
| Avg Days To Max Increase | 20 | 19 | 22 | 21 | 18 | 16 | 14 | 19 | 17 | 9 | 9 | |
| Avg Max Decline | -0.60% | -1.33% | -0.50% | -0.52% | -0.49% | -0.54% | -0.47% | -1.09% | -0.73% | -0.74% | -0.31% | |
| Max Decline | -2.05% | -6.78% | -1.87% | -2.99% | -2.56% | -2.54% | -2.24% | -3.31% | -4.63% | -2.04% | -1.31% | |
| Avg Days to Max Decline | 9 | 13 | 10 | 10 | 5 | 8 | 3 | 14 | 8 | 8 | 2 | |
| 2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
| Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
