MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		32	35	35	36	36	36	36	36	36	36	36
Closed Higher		12	16	19	23	17	22	18	20	24	16	15
Exceeded High		11	15	15	18	11	15	13	17	17	13	11
Scenario Percentage		92%	94%	79%	78%	65%	68%	72%	85%	71%	81%	73%
Avg Max Increase		2.18%	2.49%	3.67%	2.61%	2.24%	2.16%	2.76%	2.92%	2.90%	1.75%	1.01%
Max Increase		3.89%	5.55%	15.26%	10.44%	4.65%	3.83%	5.79%	11.76%	9.64%	4.47%	1.95%
Avg Days To Max Increase		13	20	16	19	18	21	20	20	15	12	10
Avg Max Decline		-0.61%	-0.92%	-0.41%	-0.57%	-1.22%	-0.55%	-0.53%	-0.57%	-0.60%	-0.45%	-0.22%
Max Decline		-1.96%	-3.40%	-1.42%	-1.91%	-6.74%	-1.77%	-3.04%	-2.54%	-2.56%	-2.18%	-0.72%
Avg Days to Max Decline		9	11	6	8	11	9	8	5	9	3	3
2012 Contract Condition		Yes	Yes		Yes		Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes		No		Yes	Yes	Yes	No		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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		32	35	35	36	36	36	36	36	36	36	36
Closed Lower		19	19	16	12	18	13	18	16	11	19	21
Penetrated Low		14	13	12	10	9	9	12	10	11	13	15
Scenario Percentage		74%	68%	75%	83%	50%	69%	67%	63%	100%	68%	71%
Avg Max Decline		2.79%	2.37%	1.70%	2.14%	2.66%	2.73%	2.23%	4.75%	1.80%	2.17%	1.37%
Max Decline		6.46%	4.65%	4.22%	5.89%	4.34%	7.77%	5.50%	18.14%	3.86%	7.72%	4.70%
Avg Days To Max Decline		15	15	14	14	19	19	17	18	15	11	11
Avg Max Increase		-0.44%	-0.41%	-0.33%	-0.38%	-0.24%	-1.38%	-0.36%	-0.94%	-0.66%	-0.69%	-0.24%
Max Increase		-1.39%	-2.64%	-1.68%	-1.79%	-1.24%	-5.02%	-1.74%	-3.56%	-1.49%	-4.79%	-0.77%
Avg Days to Max Increase		3	6	8	3	7	11	8	14	8	4	2
2012 Contract Condition				Yes		Yes					Yes
Action				Yes		Yes					Yes
High	98.56	99.35	100.70	100.86	101.36	100.95	98.04	99.65	101.35	103.59	102.56	101.18
Low	95.69	96.79	99.00	99.10	98.96	96.10	95.45	97.24	98.90	100.59	99.70	99.36
Close/Last	97.80	99.03	100.49	99.69	100.67	96.43	97.97	99.42	101.23	101.49	99.88	100.66