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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, 2013
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   23 23 24 26 26 26 26 26 27 27 27
Closed Higher   9 12 11 13 11 10 9 13 11 15 12
Exceeded High   8 10 10 9 5 10 6 9 10 11 9
Scenario Percentage   89% 83% 91% 69% 45% 100% 67% 69% 91% 73% 75%
Avg Max Increase   3.79% 2.36% 2.81% 2.93% 5.03% 4.17% 3.17% 3.28% 3.28% 2.86% 2.23%
Max Increase   7.91% 8.24% 6.47% 9.57% 13.34% 12.90% 5.20% 6.61% 8.96% 4.71% 5.75%
Avg Days To Max Increase   17 11 12 14 20 17 20 18 13 8 10
Avg Max Decline   -0.78% -0.71% -0.29% -0.46% -1.11% -0.54% -0.80% -1.11% -0.92% -1.41% -0.30%
Max Decline   -2.17% -1.69% -0.88% -1.29% -2.62% -2.25% -1.87% -2.70% -3.29% -3.03% -1.06%
Avg Days to Max Decline   8 6 7 4 9 5 10 15 6 7 3
2012 Contract Condition     Yes       Yes   Yes Yes    
Action     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 23 24 26 26 26 26 26 27 27 27
Closed Lower   14 11 13 13 15 16 17 13 16 12 14
Penetrated Low   10 8 12 12 13 15 12 10 11 9 8
Scenario Percentage   71% 73% 92% 92% 87% 94% 71% 77% 69% 75% 57%
Avg Max Decline   3.89% 3.90% 3.49% 2.75% 3.62% 3.77% 4.42% 4.67% 3.39% 3.61% 2.20%
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   14 22 18 19 16 21 20 17 16 13 10
Avg Max Increase   -0.02% -0.75% -0.30% -1.29% -0.52% -0.91% -0.36% -0.81% -1.18% -1.14% -0.53%
Max Increase   -1.28% -2.15% -2.25% -3.45% -2.76% -3.21% -1.50% -2.09% -2.96% -2.54% -1.08%
Avg Days to Max Increase   2 7 5 13 5 10 5 4 6 7 3
2012 Contract Condition   Yes   Yes Yes Yes   Yes     Yes Yes
Action   No   Yes Yes No   No     Yes Not Yet
High 78.125 77.290 77.810 77.255 77.305 76.225 80.150 80.585 80.325 81.415 82.045 80.240
Low 76.802 74.472 74.500 74.922 74.530 74.528 74.760 75.255 77.000 78.520 78.855 78.120
Close/Last 77.248 74.472 76.255 75.605 74.915 74.813 79.555 76.705 78.890 80.523 79.418 78.795

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