MRCI's ScenarioSM Study

ScenarioSM Study for March Canadian Dollar(CME) as of Dec 30, 2011
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		32	34	34	35	35	35	35	35	35	35	35
Closed Higher		20	16	20	16	20	24	17	13	19	11	18
Exceeded High		18	9	14	11	17	18	12	12	17	10	12
Scenario Percentage		90%	56%	70%	69%	85%	75%	71%	92%	89%	91%	67%
Avg Max Increase		2.55%	2.30%	1.91%	2.91%	2.82%	2.79%	2.12%	1.98%	1.97%	1.74%	1.57%
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	20	18	16	15	19	17	9	9
Avg Max Decline		-0.60%	-1.33%	-0.50%	-0.48%	-0.49%	-0.56%	-0.49%	-1.09%	-0.75%	-0.74%	-0.34%
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	9	5	9	5	14	9	8	2
2011 Contract Condition					Yes		Yes	Yes		Yes		Yes
Action					Yes		Yes	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		32	34	34	35	35	35	35	35	35	35	35
Closed Lower		12	18	14	19	15	11	17	22	16	24	17
Penetrated Low		10	8	10	13	9	11	11	17	13	19	10
Scenario Percentage		83%	44%	71%	68%	60%	100%	65%	77%	81%	79%	59%
Avg Max Decline		2.06%	2.84%	2.91%	2.15%	4.25%	1.68%	2.68%	2.38%	2.17%	2.24%	1.46%
Max Decline		5.05%	4.42%	8.04%	5.52%	17.72%	3.91%	7.78%	4.78%	4.53%	5.91%	2.82%
Avg Days To Max Decline		14	19	19	17	19	17	17	19	15	11	9
Avg Max Increase		-0.34%	-0.29%	-1.26%	-0.24%	-0.79%	-0.69%	-0.80%	-0.50%	-0.53%	-0.43%	-0.14%
Max Increase		-1.75%	-1.16%	-4.75%	-1.56%	-3.43%	-1.89%	-4.44%	-2.60%	-1.35%	-1.49%	-0.47%
Avg Days to Max Increase		3	6	10	6	12	8	7	8	10	3	2
2011 Contract Condition		Yes	Yes	Yes		Yes			Yes		Yes
Action		Yes	No	Yes		No			No		Not Yet
High	98.82	99.91	98.45	98.00	97.00	98.30	97.63	99.75	99.91	100.61	101.53	102.96
Low	94.41	97.50	92.87	93.84	93.40	93.38	93.38	96.05	97.01	97.16	99.32	99.83
Close/Last	98.10	97.81	94.89	93.84	96.74	93.38	96.91	97.70	97.28	100.44	99.78	102.94