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