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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, 2010
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 22 23 23 23 23 24 24 24 24 24 24
Closed Higher 12 10 9 9 11 9 14 10 11 8 13
Exceeded High 7 5 9 7 8 8 11 9 10 6 11
Scenario Percentage 58% 50% 100% 78% 73% 89% 79% 90% 91% 75% 85%
Avg Max Increase 3.40% 4.91% 4.22% 2.63% 3.09% 3.25% 3.06% 3.84% 3.63% 2.83% 1.49%
Max Increase 9.23% 13.23% 12.46% 5.33% 6.34% 8.79% 6.44% 11.75% 7.13% 5.84% 3.26%
Avg Days To Max Increase 15 20 16 19 18 13 17 17 21 16 10
Avg Max Decline -0.40% -1.04% -0.60% -0.42% -1.07% -0.67% -1.49% -0.51% -1.28% -0.92% -0.72%
Max Decline -1.21% -2.26% -2.35% -1.22% -2.70% -3.15% -2.98% -1.04% -3.17% -1.69% -2.01%
Avg Days to Max Decline 2 10 5 9 13 5 8 11 13 6 5
2009 Contract Condition Yes Yes Yes Yes Yes   Yes Yes      
Action Yes Yes Yes Yes No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 22 23 23 23 23 24 24 24 24 24 24
Closed Lower 10 13 14 14 12 15 10 14 13 16 11
Penetrated Low 9 11 13 10 10 11 8 10 13 11 7
Scenario Percentage 90% 85% 93% 71% 83% 73% 80% 71% 100% 69% 64%
Avg Max Decline 2.69% 3.67% 3.67% 4.72% 4.52% 3.04% 4.15% 3.70% 3.77% 3.11% 4.69%
Max Decline 4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.73% 7.55% 13.37%
Avg Days To Max Decline 19 18 23 21 17 13 20 22 14 8 16
Avg Max Increase -1.11% -0.56% -0.95% -0.16% -0.55% -0.72% -1.01% -1.39% -1.38% -0.43% -0.64%
Max Increase -3.62% -2.94% -2.98% -1.30% -2.19% -1.55% -2.54% -5.46% -3.24% -1.71% -1.51%
Avg Days to Max Increase 12 6 11 7 4 5 5 14 8 3 2
2009 Contract Condition           Yes     Yes Yes Yes
Action           No     Yes Yes Yes
High 74.675 78.690 81.435 89.100 89.725 89.060 88.050 89.310 90.305 87.220 85.030
Low 73.290 74.755 76.910 79.940 85.890 80.250 82.720 85.425 83.145 84.035 79.255
Close/Last 74.555 78.690 79.785 87.030 87.885 82.750 87.160 88.740 85.895 84.775 79.430

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