MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		30	33	34	35	36	36	36	36	36	36	36
Closed Higher		15	13	18	12	17	20	23	17	24	17	20
Exceeded High		10	12	17	11	16	16	19	11	16	12	15
Scenario Percentage		67%	92%	94%	92%	94%	80%	83%	65%	67%	71%	75%
Avg Max Increase		2.29%	2.02%	2.10%	2.18%	2.62%	3.62%	2.50%	2.29%	2.15%	2.26%	1.20%
Max Increase		4.18%	4.76%	5.24%	4.27%	5.80%	15.45%	10.55%	4.69%	3.75%	4.25%	2.93%
Avg Days To Max Increase		18	18	17	14	21	16	16	18	22	12	9
Avg Max Decline		-0.43%	-0.96%	-0.72%	-0.63%	-0.89%	-0.50%	-0.58%	-1.25%	-0.57%	-0.26%	-0.37%
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		5	13	11	10	10	6	7	12	9	5	4
2012 Contract Condition		Yes		Yes	Yes	Yes		Yes		Yes	Yes	Yes
Action		No		Yes	Yes	Yes		No		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		30	33	34	35	36	36	36	36	36	36	36
Closed Lower		15	20	15	23	19	16	13	19	12	19	16
Penetrated Low		10	14	11	18	12	12	12	12	8	13	8
Scenario Percentage		67%	70%	73%	78%	63%	75%	92%	63%	67%	68%	50%
Avg Max Decline		2.74%	2.55%	2.28%	2.56%	2.47%	1.66%	1.97%	2.14%	2.99%	2.04%	1.43%
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	14	15	18	17	12	11
Avg Max Increase		-0.54%	-0.36%	-0.41%	-0.35%	-0.50%	-0.43%	-0.44%	-0.28%	-0.91%	-0.27%	-0.34%
Max Increase		-4.24%	-2.44%	-1.43%	-1.31%	-2.63%	-1.78%	-1.78%	-1.33%	-2.06%	-1.77%	-0.92%
Avg Days to Max Increase		5	6	10	3	6	7	4	8	8	5	2
2012 Contract Condition			Yes				Yes		Yes
Action			No				Yes		Yes
High	101.91	100.45	100.01	98.65	99.36	100.89	101.10	101.68	101.40	98.24	99.87	101.56
Low	95.36	93.58	94.80	95.72	96.86	99.10	99.30	99.15	96.25	95.54	97.40	99.06
Close/Last	95.36	100.01	97.54	97.92	99.23	100.69	99.90	100.94	96.59	98.16	99.62	101.44