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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, 2013
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   33 35 35 36 36 36 36 36 36 36 36
Closed Higher   21 16 21 17 20 24 18 13 20 12 19
Exceeded High   18 9 15 11 17 18 12 12 18 11 13
Scenario Percentage   86% 56% 71% 65% 85% 75% 67% 92% 90% 92% 68%
Avg Max Increase   2.55% 2.30% 1.93% 2.91% 2.82% 2.79% 2.12% 1.98% 2.01% 1.79% 1.63%
Max Increase   10.35% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.66%
Avg Days To Max Increase   20 19 22 20 18 16 15 19 18 9 10
Avg Max Decline   -0.60% -1.33% -0.50% -0.48% -0.49% -0.56% -0.49% -1.09% -0.79% -0.69% -0.27%
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 7 2
2012 Contract Condition   Yes   Yes Yes     Yes   Yes Yes Yes
Action   No   Yes No     No   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   33 35 35 36 36 36 36 36 36 36 36
Closed Lower   12 19 14 19 16 12 17 23 16 24 17
Penetrated Low   10 9 10 13 10 12 11 17 13 19 10
Scenario Percentage   83% 47% 71% 68% 63% 100% 65% 74% 81% 79% 59%
Avg Max Decline   2.06% 2.74% 2.91% 2.15% 4.63% 1.70% 2.68% 2.38% 2.17% 2.28% 1.57%
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 20 19 17 18 16 17 19 15 11 11
Avg Max Increase   -0.34% -0.28% -1.26% -0.24% -0.76% -0.64% -0.80% -0.50% -0.53% -0.43% -0.16%
Max Increase   -1.75% -1.16% -4.75% -1.56% -3.43% -1.89% -4.44% -2.60% -1.35% -1.49% -0.52%
Avg Days to Max Increase   3 7 10 6 11 8 7 8 10 3 2
2012 Contract Condition     Yes     Yes Yes   Yes      
Action     Yes     Yes Yes   No      
High 102.20 104.70 104.70 103.10 105.44 104.11 102.23 100.75 100.30 99.23 100.24 101.54
Low 99.70 102.00 101.20 100.42 102.50 99.88 94.93 93.59 94.85 95.73 96.75 99.41
Close/Last 102.20 104.70 102.41 103.10 104.11 101.74 95.50 100.30 97.81 98.21 99.63 101.11

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