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