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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 Dec 31, 2010
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   29 30 31 33 33 33 33 34 34 34 34
Closed Higher   13 19 20 16 14 18 11 15 19 21 15
Exceeded High   10 15 14 11 13 15 10 13 14 17 8
Scenario Percentage   77% 79% 70% 69% 93% 83% 91% 87% 74% 81% 53%
Avg Max Increase   2.67% 3.07% 3.03% 1.97% 2.02% 2.05% 2.15% 2.84% 3.91% 2.45% 1.28%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 5.92% 15.65% 10.60% 2.63%
Avg Days To Max Increase   23 21 15 14 19 18 16 21 19 11 8
Avg Max Decline   -0.37% -0.43% -0.44% -0.43% -0.98% -0.78% -0.76% -0.87% -0.52% -0.50% -0.43%
Max Decline   -2.99% -2.51% -2.55% -2.21% -3.26% -4.68% -2.02% -3.58% -1.59% -1.99% -0.83%
Avg Days to Max Decline   3 5 8 3 15 10 8 8 6 6 2
2010 Contract Condition   Yes   Yes   Yes Yes   Yes Yes    
Action   Yes   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 30 31 33 33 33 33 34 34 34 34
Closed Lower   16 11 11 16 19 15 22 18 15 13 19
Penetrated Low   10 7 11 10 16 12 18 13 12 12 10
Scenario Percentage   63% 64% 100% 63% 84% 80% 82% 72% 80% 92% 53%
Avg Max Decline   2.00% 4.54% 1.59% 2.75% 2.53% 2.15% 2.52% 2.27% 1.36% 1.81% 1.05%
Max Decline   5.49% 17.67% 3.99% 7.59% 4.61% 4.51% 6.02% 3.75% 4.44% 6.31% 1.80%
Avg Days To Max Decline   16 20 19 16 20 14 13 15 12 15 8
Avg Max Increase   -0.29% -0.77% -0.75% -0.60% -0.48% -0.53% -0.43% -0.50% -0.40% -0.50% -0.05%
Max Increase   -1.54% -3.31% -2.35% -4.26% -2.62% -1.38% -1.49% -2.84% -1.22% -1.86% -0.41%
Avg Days to Max Increase   8 12 9 4 5 10 3 5 7 5 1
2010 Contract Condition     Yes   Yes     Yes     Yes Yes
Action     No   No     Yes     Yes Not Yet
High 92.91 92.90 93.92 94.35 97.70 95.82 96.37 97.76 96.42 99.38 100.69 99.00
Low 86.17 85.47 89.98 90.06 91.25 92.16 93.04 93.38 92.75 94.59 97.89 92.13
Close/Last 86.27 92.75 91.32 93.64 92.60 94.58 95.61 93.49 95.06 98.51 98.34 95.13

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