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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Canadian Dollar(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 28 29 31 31 31 31 32 32 32 32
Closed Higher   12 19 18 16 13 16 11 14 17 20 14
Exceeded High   9 15 13 11 12 13 10 12 12 16 7
Scenario Percentage   75% 79% 72% 69% 92% 81% 91% 86% 71% 80% 50%
Avg Max Increase   2.78% 3.07% 2.93% 1.97% 1.91% 1.94% 2.15% 2.59% 3.08% 1.95% 1.28%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 5.71% 9.95% 7.88% 2.82%
Avg Days To Max Increase   23 21 15 14 20 19 16 21 18 12 9
Avg Max Decline   -0.07% -0.43% -0.27% -0.43% -0.93% -0.83% -0.76% -0.90% -0.49% -0.51% -0.48%
Max Decline   -0.45% -2.51% -1.89% -2.21% -3.26% -4.68% -2.02% -3.58% -1.59% -1.99% -0.83%
Avg Days to Max Decline   2 5 8 3 15 11 8 8 6 6 3
2008 Contract Condition     Yes Yes Yes   Yes   Yes   Yes Yes
Action     Yes Yes Yes   Yes   No   Yes Not Yet
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 28 29 31 31 31 31 32 32 32 32
Closed Lower   15 9 11 14 18 15 20 17 15 12 18
Penetrated Low   9 6 11 9 15 12 16 12 12 11 10
Scenario Percentage   60% 67% 100% 64% 83% 80% 80% 71% 80% 92% 56%
Avg Max Decline   1.61% 2.35% 1.59% 2.21% 2.39% 2.15% 2.42% 2.23% 1.36% 1.42% 1.07%
Max Decline   5.12% 6.62% 3.99% 4.31% 4.34% 4.51% 6.02% 3.75% 4.44% 3.10% 1.80%
Avg Days To Max Decline   17 18 19 17 21 14 14 16 12 14 9
Avg Max Increase   -0.32% -0.35% -0.75% -0.19% -0.46% -0.53% -0.32% -0.55% -0.40% -0.49% -0.05%
Max Increase   -1.54% -1.22% -2.35% -0.75% -2.62% -1.38% -1.49% -2.84% -1.22% -1.86% -0.41%
Avg Days to Max Increase   9 10 9 4 6 10 3 5 7 5 1
2008 Contract Condition   Yes       Yes   Yes   Yes    
Action   Yes       Yes   No   Yes    
High 95.40 97.08 95.80 100.79 106.10 110.22 102.57 101.59 102.75 102.38 100.04 101.80
Low 93.51 93.78 92.81 94.75 100.14 99.88 97.65 96.24 97.85 96.80 96.68 97.56
Close/Last 94.61 94.24 95.19 100.76 105.69 99.95 100.96 99.31 101.54 97.09 99.54 100.51

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