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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March US Dollar Index(ICE) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 19 20 22 22 22 22 22 23 23 23
Closed Higher   7 9 10 12 9 8 8 10 9 13 10
Exceeded High   6 8 10 8 4 8 5 8 8 9 8
Scenario Percentage   86% 89% 100% 67% 44% 100% 63% 80% 89% 69% 80%
Avg Max Increase   3.37% 2.46% 2.81% 2.10% 2.96% 3.43% 3.18% 3.19% 3.35% 2.83% 2.11%
Max Increase   7.67% 8.24% 6.47% 6.76% 5.93% 10.57% 5.20% 6.61% 8.96% 4.71% 4.33%
Avg Days To Max Increase   20 11 12 14 18 19 20 18 12 8 10
Avg Max Decline   -0.75% -0.80% -0.29% -0.55% -0.73% -0.66% -0.58% -1.19% -0.81% -1.37% -0.38%
Max Decline   -1.59% -1.69% -0.88% -1.29% -1.37% -2.25% -1.22% -2.70% -3.29% -3.03% -1.06%
Avg Days to Max Decline   6 7 7 4 6 6 11 16 6 8 3
2008 Contract Condition     Yes     Yes       Yes    
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 19 20 22 22 22 22 22 23 23 23
Closed Lower   12 10 10 10 13 14 14 12 14 10 12
Penetrated Low   9 7 9 9 12 13 10 10 10 7 7
Scenario Percentage   75% 70% 90% 90% 92% 93% 71% 83% 71% 70% 58%
Avg Max Decline   3.51% 4.25% 3.63% 2.78% 3.58% 3.80% 4.79% 4.67% 3.42% 3.96% 2.22%
Max Decline   7.95% 7.52% 7.14% 4.83% 8.06% 7.93% 9.26% 8.53% 8.15% 7.30% 5.03%
Avg Days To Max Decline   15 21 18 16 15 22 21 17 14 12 10
Avg Max Increase   -0.03% -0.55% -0.23% -1.15% -0.47% -1.00% -0.36% -0.81% -1.00% -1.11% -0.55%
Max Increase   -1.28% -1.04% -1.52% -3.45% -2.76% -3.21% -1.50% -2.09% -1.68% -2.54% -1.08%
Avg Days to Max Increase   3 6 5 12 6 11 5 4 5 5 3
2008 Contract Condition   Yes   Yes Yes   Yes Yes Yes   Yes Yes
Action   No   Yes Yes   Yes Yes No   Yes Yes
High 82.280 82.200 81.650 82.460 81.100 81.450 80.470 78.620 76.700 77.880 77.490 77.195
Low 81.770 80.540 80.720 81.150 79.540 79.690 77.555 76.420 74.760 75.640 75.100 73.630
Close/Last 81.940 80.590 81.510 81.260 80.290 80.455 77.555 76.420 76.160 76.700 75.285 73.750

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