MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	22	22	24	24	24	24	24	24	24	24	24
Closed Higher	9	11	10	14	10	11	8	13	12	13	9
Exceeded High	7	8	8	11	9	10	7	11	11	9	5
Scenario Percentage	78%	73%	80%	79%	90%	91%	88%	85%	92%	69%	56%
Avg Max Increase	2.61%	3.02%	3.45%	2.86%	3.66%	3.56%	3.36%	2.84%	2.92%	3.05%	2.28%
Max Increase	5.41%	6.14%	8.79%	6.46%	11.65%	6.91%	7.43%	8.42%	6.58%	9.50%	3.74%
Avg Days To Max Increase	18	19	13	19	19	21	21	10	11	12	11
Avg Max Decline	-0.43%	-0.94%	-0.71%	-1.38%	-0.31%	-1.12%	-0.94%	-1.05%	-0.51%	-0.68%	-0.44%
Max Decline	-1.29%	-2.09%	-3.13%	-2.62%	-0.88%	-3.11%	-1.58%	-1.98%	-1.20%	-1.51%	-1.37%
Avg Days to Max Decline	9	14	5	8	13	12	8	7	6	4	2
2009 Contract Condition	Yes	Yes		Yes	Yes				Yes
Action	Yes	No		Yes	Yes				No

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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	22	22	24	24	24	24	24	24	24	24	24
Closed Lower	13	11	14	10	14	13	16	11	12	11	15
Penetrated Low	9	9	10	8	10	12	11	9	11	10	12
Scenario Percentage	69%	82%	71%	80%	71%	92%	69%	82%	92%	91%	80%
Avg Max Decline	4.31%	4.09%	3.00%	4.04%	3.60%	3.97%	4.03%	3.75%	3.56%	2.45%	5.26%
Max Decline	9.09%	7.55%	7.67%	6.83%	6.82%	7.71%	8.54%	8.15%	7.14%	5.04%	14.75%
Avg Days To Max Decline	22	17	14	17	21	16	13	19	16	9	12
Avg Max Increase	-0.19%	-0.59%	-0.68%	-0.83%	-1.23%	-1.06%	-0.47%	-0.92%	-0.54%	-1.10%	-0.54%
Max Increase	-1.30%	-1.90%	-1.40%	-2.47%	-5.25%	-3.06%	-1.72%	-2.64%	-1.67%	-3.11%	-2.35%
Avg Days to Max Increase	5	4	5	5	9	7	3	5	5	7	-56
2009 Contract Condition			Yes			Yes	Yes	Yes		Yes	Yes
Action			No			Yes	Yes	Yes		Yes	Yes
High	89.040	89.975	88.860	88.225	89.400	90.170	87.450	85.350	81.970	81.165	79.695
Low	80.240	86.490	81.150	83.600	86.000	83.560	84.450	79.710	78.830	78.310	77.520
Close/Last	87.280	88.135	83.450	87.510	89.150	86.370	85.125	79.860	80.425	78.450	78.220