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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 20 20 22 22 22 22 22 22 22 22 22
Closed Higher 8 10 9 13 9 11 7 12 11 12 8
Exceeded High 6 8 8 10 8 10 6 10 11 8 4
Scenario Percentage 75% 80% 89% 77% 89% 91% 86% 83% 100% 67% 50%
Avg Max Increase 2.53% 3.02% 3.45% 2.84% 3.98% 3.56% 3.54% 2.94% 2.92% 2.29% 2.13%
Max Increase 5.41% 6.14% 8.79% 6.46% 11.65% 6.91% 7.43% 8.42% 6.58% 6.04% 3.03%
Avg Days To Max Increase 17 19 13 21 21 21 23 10 11 13 14
Avg Max Decline -0.40% -0.94% -0.71% -1.34% -0.42% -1.12% -0.91% -1.06% -0.51% -0.75% -0.85%
Max Decline -1.29% -2.09% -3.13% -2.62% -0.88% -3.11% -1.58% -1.98% -1.20% -1.51% -1.50%
Avg Days to Max Decline 10 14 5 8 14 12 6 7 6 4 6
2007 Contract Condition     Yes Yes       Yes     Yes
Action     Yes No       Yes     Not Yet
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 20 20 22 22 22 22 22 22 22 22 22
Closed Lower 12 10 13 9 13 11 15 10 11 10 14
Penetrated Low 8 9 10 7 9 11 10 8 10 9 11
Scenario Percentage 67% 90% 77% 78% 69% 100% 67% 80% 91% 90% 79%
Avg Max Decline 4.60% 4.09% 3.00% 3.85% 3.62% 3.63% 3.69% 3.98% 3.75% 2.47% 5.58%
Max Decline 9.09% 7.55% 7.67% 6.83% 6.82% 7.14% 8.54% 8.15% 7.14% 5.04% 14.75%
Avg Days To Max Decline 22 17 14 17 22 15 15 18 17 10 13
Avg Max Increase -0.20% -0.59% -0.68% -0.59% -1.35% -1.04% -0.49% -0.70% -0.50% -1.05% -0.50%
Max Increase -1.30% -1.90% -1.40% -1.33% -5.25% -3.06% -1.72% -1.60% -1.67% -3.11% -2.35%
Avg Days to Max Increase 6 4 5 5 10 6 3 4 5 6 -62
2007 Contract Condition Yes Yes     Yes Yes Yes   Yes Yes  
Action Yes Yes     Yes Yes No   Yes Yes  
High 86.050 85.050 83.320 85.590 84.440 83.880 82.670 82.210 83.010 81.680 82.000
Low 84.230 81.950 81.500 82.470 82.800 82.250 80.870 81.170 81.370 79.870 79.855
Close/Last 84.230 81.950 82.930 83.900 82.920 82.420 81.060 82.000 81.690 80.660 80.745

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