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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June US Dollar Index(ICE) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 20 21 21 21 21 22 22 22 22 22 22
Closed Higher 11 8 8 8 10 8 13 9 11 7 12
Exceeded High 6 4 8 6 8 8 10 8 10 6 10
Scenario Percentage 55% 50% 100% 75% 80% 100% 77% 89% 91% 86% 83%
Avg Max Increase 2.43% 2.83% 3.19% 2.55% 3.09% 3.25% 3.01% 4.10% 3.63% 2.87% 1.59%
Max Increase 6.70% 5.64% 10.46% 5.33% 6.34% 8.79% 6.44% 11.75% 7.13% 5.84% 3.39%
Avg Days To Max Increase 15 18 15 19 18 13 18 19 21 16 10
Avg Max Decline -0.52% -0.73% -0.69% -0.38% -1.07% -0.67% -1.44% -0.62% -1.28% -0.92% -0.68%
Max Decline -1.21% -1.38% -2.35% -1.22% -2.70% -3.15% -2.98% -1.04% -3.17% -1.69% -2.01%
Avg Days to Max Decline 3 6 5 10 13 5 8 12 13 6 4
2007 Contract Condition Yes   Yes     Yes Yes       Yes
Action No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 20 21 21 21 21 22 22 22 22 22 22
Closed Lower 9 13 13 13 11 14 9 13 11 15 10
Penetrated Low 8 11 12 9 10 11 7 9 11 10 6
Scenario Percentage 89% 85% 92% 69% 91% 79% 78% 69% 100% 67% 60%
Avg Max Decline 2.62% 3.67% 3.69% 5.02% 4.52% 3.04% 3.92% 3.67% 3.61% 2.71% 5.33%
Max Decline 4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.18% 5.48% 13.37%
Avg Days To Max Decline 18 18 23 21 17 13 20 22 12 9 20
Avg Max Increase -1.06% -0.56% -0.93% -0.14% -0.55% -0.72% -0.80% -1.48% -1.20% -0.44% -0.73%
Max Increase -3.62% -2.94% -2.98% -1.30% -2.19% -1.55% -1.48% -5.46% -3.06% -1.71% -1.51%
Avg Days to Max Increase 12 6 11 7 4 5 5 10 6 3 3
2007 Contract Condition   Yes   Yes Yes     Yes Yes Yes  
Action   No   Yes Yes     Yes Yes Not Yet  
High 85.670 84.410 85.110 86.320 84.960 83.570 84.920 84.750 84.050 82.970 82.500
Low 83.580 83.320 83.840 84.510 82.240 81.790 82.700 83.000 82.380 81.100 81.100
Close/Last 84.030 83.970 85.110 84.510 82.240 83.180 84.160 83.200 82.660 81.300 82.250

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