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