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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, 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

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