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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Canadian Dollar(CME) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 26 29 29 30 30 30 30 30 30 30 30
Closed Higher 11 11 15 18 14 19 14 18 19 13 13
Exceeded High 10 11 11 15 9 12 10 15 14 11 9
Scenario Percentage 91% 100% 73% 83% 64% 63% 71% 83% 74% 85% 69%
Avg Max Increase 2.21% 1.98% 2.51% 1.91% 2.21% 1.99% 2.80% 2.37% 2.28% 1.46% 0.94%
Max Increase 3.89% 3.95% 9.67% 7.87% 4.65% 3.83% 5.79% 8.02% 7.70% 4.09% 1.95%
Avg Days To Max Increase 14 18 12 19 17 20 23 20 16 13 11
Avg Max Decline -0.66% -0.85% -0.43% -0.50% -0.67% -0.50% -0.33% -0.58% -0.42% -0.47% -0.23%
Max Decline -1.96% -3.40% -1.42% -1.85% -1.64% -1.77% -0.78% -2.54% -2.02% -2.18% -0.72%
Avg Days to Max Decline 9 9 6 9 6 9 8 5 9 3 3
2006 Contract Condition Yes Yes   Yes Yes     Yes      
Action Yes Yes   Yes No     No      
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 26 29 29 30 30 30 30 30 30 30 30
Closed Lower 14 18 14 11 15 10 16 12 10 16 17
Penetrated Low 11 12 10 9 7 6 10 8 10 11 13
Scenario Percentage 79% 67% 71% 82% 47% 60% 62% 67% 100% 69% 76%
Avg Max Decline 2.91% 2.36% 1.65% 1.72% 2.98% 3.02% 1.92% 2.66% 1.77% 1.81% 2.23%
Max Decline 6.46% 4.65% 4.22% 3.35% 4.34% 7.77% 4.92% 5.60% 3.86% 3.34% 8.08%
Avg Days To Max Decline 17 16 13 13 20 20 18 19 16 11 12
Avg Max Increase -0.33% -0.44% -0.17% -0.35% -0.27% -0.63% -0.26% -0.66% -0.71% -0.26% -0.19%
Max Increase -1.39% -2.64% -1.08% -1.79% -1.24% -1.15% -1.19% -1.82% -1.49% -0.90% -0.53%
Avg Days to Max Increase 3 6 6 3 7 8 8 15 8 4 2
2006 Contract Condition     Yes     Yes Yes   Yes Yes Yes
Action     Yes     Yes No   Yes Yes Yes
High 88.58 88.80 89.13 90.12 91.84 91.70 90.98 91.03 90.92 89.93 89.32
Low 85.73 86.84 85.90 85.69 89.28 89.07 87.70 88.35 88.70 87.75 87.06
Close/Last 88.58 88.71 86.26 89.94 91.29 89.95 88.76 90.84 89.67 89.27 87.65

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