|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Canadian Dollar(CME) as of Apr 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 |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
|
28 |
31 |
32 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Higher |
|
13 |
13 |
16 |
11 |
15 |
19 |
21 |
17 |
22 |
15 |
19 |
| Exceeded High |
|
9 |
12 |
15 |
10 |
14 |
15 |
18 |
11 |
14 |
11 |
14 |
| Scenario Percentage |
|
69% |
92% |
94% |
91% |
93% |
79% |
86% |
65% |
64% |
73% |
74% |
| Avg Max Increase |
|
2.23% |
2.02% |
2.05% |
2.21% |
2.67% |
3.68% |
2.63% |
2.29% |
2.03% |
2.13% |
1.18% |
| Max Increase |
|
4.18% |
4.76% |
5.24% |
4.27% |
5.80% |
15.45% |
10.55% |
4.69% |
3.75% |
4.80% |
3.29% |
| Avg Days To Max Increase |
|
16 |
18 |
17 |
16 |
20 |
17 |
17 |
18 |
21 |
13 |
9 |
| Avg Max Decline |
|
-0.41% |
-0.96% |
-0.69% |
-0.68% |
-0.78% |
-0.52% |
-0.58% |
-1.25% |
-0.49% |
-0.23% |
-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 |
7 |
6 |
7 |
12 |
9 |
5 |
3 |
| 2011 Contract Condition |
|
Yes |
|
Yes |
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
Yes |
|
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 |
|
28 |
31 |
32 |
33 |
34 |
34 |
34 |
34 |
34 |
34 |
34 |
| Closed Lower |
|
15 |
18 |
15 |
22 |
19 |
15 |
13 |
17 |
12 |
19 |
15 |
| Penetrated Low |
|
10 |
14 |
11 |
18 |
12 |
11 |
12 |
10 |
8 |
13 |
7 |
| Scenario Percentage |
|
67% |
78% |
73% |
82% |
63% |
73% |
92% |
59% |
67% |
68% |
47% |
| Avg Max Decline |
|
2.74% |
2.55% |
2.28% |
2.56% |
2.47% |
1.48% |
1.97% |
2.24% |
2.99% |
2.09% |
1.39% |
| Max Decline |
|
7.57% |
4.66% |
4.29% |
6.31% |
4.29% |
4.39% |
6.16% |
4.33% |
7.59% |
5.39% |
2.44% |
| Avg Days To Max Decline |
|
18 |
20 |
13 |
14 |
16 |
12 |
15 |
18 |
17 |
13 |
12 |
| Avg Max Increase |
|
-0.54% |
-0.36% |
-0.41% |
-0.35% |
-0.50% |
-0.31% |
-0.44% |
-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 |
| 2011 Contract Condition |
|
|
Yes |
|
Yes |
|
|
|
Yes |
|
|
|
| Action |
|
|
No |
|
No |
|
|
|
|
|
|
|
| High |
96.65 |
98.82 |
99.28 |
99.93 |
100.75 |
102.42 |
102.85 |
105.42 |
105.50 |
|
|
|
| Low |
93.01 |
95.73 |
96.64 |
96.80 |
99.08 |
99.30 |
99.85 |
102.50 |
104.70 |
|
|
|
| Close/Last |
96.39 |
97.19 |
96.80 |
99.90 |
99.30 |
102.42 |
102.80 |
105.35 |
104.95 |
|
|
|
|
|
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|
