|
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 |
|
|
|
|
|
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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