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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 30, 2011
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   30 31 32 34 34 34 34 35 35 35 35
Closed Higher   14 19 21 17 14 19 11 16 20 22 15
Exceeded High   11 15 15 12 13 16 10 14 15 17 8
Scenario Percentage   79% 79% 71% 71% 93% 84% 91% 88% 75% 77% 53%
Avg Max Increase   2.57% 3.07% 3.03% 2.05% 2.02% 2.08% 2.15% 2.85% 3.83% 2.44% 1.27%
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   21 21 15 15 19 18 16 22 19 11 7
Avg Max Decline   -0.33% -0.43% -0.45% -0.45% -0.98% -0.80% -0.76% -0.99% -0.51% -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 9 5 15 11 8 8 7 6 2
2011 Contract Condition   Yes   Yes Yes   Yes   Yes Yes Yes  
Action   Yes   Yes Yes   Yes   Yes 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   30 31 32 34 34 34 34 35 35 35 35
Closed Lower   16 12 11 16 20 15 23 18 15 13 20
Penetrated Low   10 7 11 10 16 12 18 13 12 12 11
Scenario Percentage   63% 58% 100% 63% 80% 80% 78% 72% 80% 92% 55%
Avg Max Decline   2.00% 4.54% 1.59% 2.75% 2.53% 2.15% 2.52% 2.27% 1.36% 1.81% 1.06%
Max Decline   5.49% 17.67% 3.99% 7.59% 4.61% 4.51% 6.02% 3.75% 4.44% 6.31% 1.66%
Avg Days To Max Decline   16 20 19 16 20 14 13 15 12 15 7
Avg Max Increase   -0.29% -0.77% -0.75% -0.60% -0.48% -0.53% -0.43% -0.50% -0.40% -0.50% -0.06%
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
2011 Contract Condition     Yes     Yes   Yes       Yes
Action     No     No   No       Yes
High 97.58 96.70 98.00 97.00 99.30 99.61 100.34 101.26 102.73 103.21 105.78 105.76
Low 93.61 93.50 93.20 93.20 96.00 96.77 97.08 99.18 99.58 100.04 102.72 101.82
Close/Last 93.69 96.52 93.20 96.66 97.47 97.08 100.18 99.58 102.72 103.06 105.62 103.18

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