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