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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, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 26 26 26 26 27 27 27 27 27 27
Closed Higher   12 11 10 9 13 11 15 11 13 9 16
Exceeded High   7 5 10 7 9 10 12 10 12 7 13
Scenario Percentage   58% 45% 100% 78% 69% 91% 80% 91% 92% 78% 81%
Avg Max Increase   3.40% 4.91% 3.92% 2.63% 3.17% 3.16% 3.07% 3.72% 4.11% 3.64% 1.61%
Max Increase   9.23% 13.23% 12.46% 5.33% 6.34% 8.79% 6.44% 11.75% 7.79% 8.31% 3.39%
Avg Days To Max Increase   15 20 14 19 17 14 17 18 21 14 9
Avg Max Decline   -0.40% -1.04% -0.43% -0.42% -0.96% -0.80% -1.44% -0.58% -1.23% -0.81% -0.68%
Max Decline   -1.21% -2.26% -2.35% -1.22% -2.70% -3.15% -2.98% -1.27% -3.17% -1.69% -2.01%
Avg Days to Max Decline   2 10 4 9 12 6 8 11 14 6 4
2012 Contract Condition       Yes   Yes Yes     Yes   Yes
Action       Yes   Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 26 26 26 26 27 27 27 27 27 27
Closed Lower   13 15 16 17 13 16 12 16 14 18 11
Penetrated Low   12 12 15 12 10 12 10 11 14 13 6
Scenario Percentage   92% 80% 94% 71% 77% 75% 83% 69% 100% 72% 55%
Avg Max Decline   2.61% 3.67% 3.62% 4.32% 4.52% 3.06% 3.82% 3.86% 3.80% 2.71% 1.73%
Max Decline   4.87% 7.73% 7.97% 9.26% 8.25% 8.05% 7.19% 6.88% 7.73% 7.55% 2.93%
Avg Days To Max Decline   21 19 21 20 17 14 20 23 13 8 10
Avg Max Increase   -1.25% -0.57% -0.85% -0.14% -0.55% -0.90% -1.04% -1.32% -1.36% -0.42% -0.50%
Max Increase   -3.62% -2.94% -2.98% -1.30% -2.19% -2.86% -2.54% -5.46% -3.24% -1.71% -0.90%
Avg Days to Max Increase   13 6 10 6 4 5 7 14 7 3 2
2012 Contract Condition   Yes Yes   Yes     Yes Yes   Yes  
Action   Yes No   No     Yes No   Yes  
High 77.545 77.705 76.705 80.015 81.045 80.710 81.790 82.285 80.585 81.160 80.380 83.295
Low 75.703 75.010 74.968 75.653 75.845 77.605 79.282 79.370 78.420 78.870 78.685 78.665
Close/Last 76.005 75.395 75.252 80.015 77.165 79.310 81.023 79.828 79.130 79.138 78.847 83.130

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