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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, 2013
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   31 32 33 35 35 35 35 36 36 36 36
Closed Higher   15 19 21 18 14 20 12 17 20 23 15
Exceeded High   11 15 15 12 13 17 11 15 15 17 8
Scenario Percentage   73% 79% 71% 67% 93% 85% 92% 88% 75% 74% 53%
Avg Max Increase   2.57% 3.07% 3.03% 2.05% 2.02% 2.11% 2.13% 2.78% 3.83% 2.47% 1.31%
Max Increase   5.50% 11.46% 9.39% 4.29% 4.34% 4.98% 4.31% 5.92% 15.65% 10.60% 2.82%
Avg Days To Max Increase   21 21 15 15 19 19 15 22 19 11 8
Avg Max Decline   -0.33% -0.43% -0.45% -0.45% -0.98% -0.84% -0.71% -0.98% -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 10 7 6 2
2012 Contract Condition   Yes     Yes   Yes Yes Yes   Yes  
Action   No     No   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   31 32 33 35 35 35 35 36 36 36 36
Closed Lower   16 13 12 16 21 15 23 18 16 13 21
Penetrated Low   10 8 12 10 16 12 18 13 13 12 12
Scenario Percentage   63% 62% 100% 63% 76% 80% 78% 72% 81% 92% 57%
Avg Max Decline   2.00% 4.95% 1.62% 2.75% 2.53% 2.15% 2.52% 2.27% 1.53% 1.83% 1.12%
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 18 18 16 20 14 13 15 14 15 8
Avg Max Increase   -0.29% -0.72% -0.69% -0.60% -0.48% -0.53% -0.43% -0.50% -0.51% -0.50% -0.06%
Max Increase   -1.54% -3.31% -2.35% -4.26% -2.62% -1.38% -1.49% -2.84% -1.82% -1.86% -0.41%
Avg Days to Max Increase   8 11 8 4 5 10 3 5 9 5 1
2012 Contract Condition     Yes Yes   Yes       Yes   Yes
Action     Yes Yes   No       Yes   Yes
High 102.82 105.15 103.87 102.02 100.58 100.15 99.00 100.00 101.32 101.33 101.92 101.65
Low 100.20 102.43 100.00 95.10 93.60 94.84 95.70 96.64 99.23 99.46 99.33 96.42
Close/Last 102.82 103.87 101.60 95.44 100.15 97.67 98.04 99.42 100.90 100.10 101.17 96.77

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