MRCI's ScenarioSM Study

ScenarioSM Study for June Canadian Dollar(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	26	27	28	30	30	30	30	31	31	31	31
Closed Higher	12	18	17	15	13	15	11	13	17	19	13
Exceeded High	9	14	12	10	12	12	10	12	12	15	7
Scenario Percentage	75%	78%	71%	67%	92%	80%	91%	92%	71%	79%	54%
Avg Max Increase	2.78%	2.47%	2.39%	1.74%	1.91%	1.95%	2.15%	2.59%	3.08%	1.94%	1.29%
Max Increase	5.50%	7.82%	7.49%	3.86%	4.34%	4.98%	4.31%	5.71%	9.95%	7.88%	2.82%
Avg Days To Max Increase	23	21	16	15	20	18	16	21	18	11	9
Avg Max Decline	-0.07%	-0.43%	-0.24%	-0.42%	-0.93%	-0.51%	-0.76%	-0.90%	-0.49%	-0.42%	-0.48%
Max Decline	-0.45%	-2.51%	-1.89%	-2.21%	-3.26%	-1.50%	-2.02%	-3.58%	-1.59%	-1.32%	-0.83%
Avg Days to Max Decline	2	5	9	3	15	10	8	8	6	6	3
2007 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	26	27	28	30	30	30	30	31	31	31	31
Closed Lower	14	9	11	14	17	15	19	17	14	12	18
Penetrated Low	8	6	11	9	14	12	16	12	11	11	15
Scenario Percentage	57%	67%	100%	64%	82%	80%	84%	71%	79%	92%	83%
Avg Max Decline	1.62%	2.35%	1.59%	2.21%	2.29%	2.15%	2.42%	2.23%	1.44%	1.42%	3.22%
Max Decline	5.12%	6.62%	3.99%	4.31%	4.34%	4.51%	6.02%	3.75%	4.44%	3.10%	13.49%
Avg Days To Max Decline	17	18	19	17	21	14	14	16	13	14	9
Avg Max Increase	-0.17%	-0.35%	-0.75%	-0.19%	-0.31%	-0.53%	-0.32%	-0.55%	-0.37%	-0.49%	-0.34%
Max Increase	-0.90%	-1.22%	-2.35%	-0.75%	-1.10%	-1.38%	-1.49%	-2.84%	-1.22%	-1.86%	-1.32%
Avg Days to Max Increase	9	10	9	4	4	10	3	5	8	5	4
2007 Contract Condition	Yes		Yes	Yes	Yes	Yes	Yes
Action	No		Yes	Yes	Yes	Yes	Yes
High	91.11	91.38	91.42	90.40	89.41	88.33	86.40	86.76	87.17	90.65	93.82
Low	88.20	88.86	89.31	88.31	87.63	86.13	84.75	84.52	84.83	86.38	89.62
Close/Last	89.30	91.38	90.20	89.79	88.17	86.26	85.41	85.75	86.91	90.28	93.56