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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Canadian Dollar(CME) as of May 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 30 31 32 33 33 33 33 33 33 33
Closed Higher   13 12 15 11 14 18 21 17 22 14 19
Exceeded High   9 11 14 10 13 14 18 11 14 10 14
Scenario Percentage   69% 92% 93% 91% 93% 78% 86% 65% 64% 71% 74%
Avg Max Increase   2.23% 1.90% 2.04% 2.21% 2.42% 3.79% 2.63% 2.29% 2.03% 2.11% 1.07%
Max Increase   4.18% 4.76% 5.24% 4.27% 5.66% 15.45% 10.55% 4.69% 3.75% 4.25% 2.34%
Avg Days To Max Increase   16 19 17 16 20 17 17 18 21 13 8
Avg Max Decline   -0.41% -0.90% -0.74% -0.68% -0.81% -0.51% -0.58% -1.25% -0.49% -0.24% -0.35%
Max Decline   -2.20% -3.09% -4.64% -1.99% -3.50% -1.45% -2.37% -6.76% -1.71% -0.69% -0.87%
Avg Days to Max Decline   4 13 11 8 8 5 7 12 9 6 3
2010 Contract Condition     Yes Yes   Yes Yes     Yes    
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   27 30 31 32 33 33 33 33 33 33 33
Closed Lower   14 18 15 21 19 15 12 16 11 19 14
Penetrated Low   10 14 11 17 12 11 11 10 8 13 7
Scenario Percentage   71% 78% 73% 81% 63% 73% 92% 63% 73% 68% 50%
Avg Max Decline   2.74% 2.55% 2.28% 2.67% 2.47% 1.48% 1.59% 2.24% 2.99% 2.03% 1.28%
Max Decline   7.57% 4.66% 4.29% 6.31% 4.29% 4.39% 3.20% 4.33% 7.59% 5.39% 2.44%
Avg Days To Max Decline   18 20 13 15 16 12 15 18 17 12 10
Avg Max Increase   -0.54% -0.36% -0.41% -0.31% -0.50% -0.31% -0.42% -0.31% -0.91% -0.27% -0.30%
Max Increase   -4.24% -2.44% -1.43% -1.31% -2.63% -1.18% -1.78% -1.33% -2.06% -1.77% -0.92%
Avg Days to Max Increase   5 6 10 3 6 6 4 8 8 5 2
2010 Contract Condition   Yes     Yes     Yes Yes      
Action   No     Yes     Yes Not Yet      
High 94.34 97.45 95.79 96.20 97.73 96.36 99.35 100.55 98.93 95.98    
Low 90.05 91.24 92.32 93.05 93.38 92.74 94.65 97.83 92.22 94.61    
Close/Last 93.62 92.56 94.56 95.58 93.47 95.04 98.43 98.27 95.09 95.16    

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