|
MRCI's ScenarioSM Study |
ScenarioSM Study for September US Dollar Index(ICE) as of May 31, 2010 |
Condition 1:
Higher Monthly Close. Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
Tested Month |
Sep |
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 |
4 |
Scenario Percentage |
|
78% |
73% |
80% |
79% |
90% |
91% |
88% |
85% |
92% |
69% |
44% |
Avg Max Increase |
|
2.61% |
3.02% |
3.45% |
2.86% |
3.66% |
3.56% |
3.36% |
2.84% |
2.92% |
3.05% |
2.38% |
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% |
-0.45% |
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 |
2010 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
|
Action |
|
|
|
Yes |
Yes |
Yes |
Yes |
Yes |
Not Yet |
|
|
|
Condition 2:
Lower Monthly Close. Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
Tested Month |
Sep |
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 |
10 |
Scenario Percentage |
|
69% |
82% |
71% |
80% |
71% |
92% |
69% |
82% |
92% |
91% |
67% |
Avg Max Decline |
|
4.31% |
4.09% |
3.00% |
4.04% |
3.60% |
3.97% |
4.03% |
3.75% |
3.56% |
2.45% |
2.10% |
Max Decline |
|
9.09% |
7.55% |
7.67% |
6.83% |
6.82% |
7.71% |
8.54% |
8.15% |
7.14% |
5.04% |
4.13% |
Avg Days To Max Decline |
|
22 |
17 |
14 |
17 |
21 |
16 |
13 |
19 |
16 |
9 |
7 |
Avg Max Increase |
|
-0.19% |
-0.59% |
-0.68% |
-0.83% |
-1.23% |
-1.06% |
-0.47% |
-0.92% |
-0.54% |
-1.10% |
-0.19% |
Max Increase |
|
-1.30% |
-1.90% |
-1.40% |
-2.47% |
-5.25% |
-3.06% |
-1.72% |
-2.64% |
-1.67% |
-3.11% |
-1.21% |
Avg Days to Max Increase |
|
5 |
4 |
5 |
5 |
9 |
7 |
3 |
5 |
5 |
7 |
1 |
2010 Contract Condition |
|
Yes |
Yes |
|
|
|
|
|
|
|
|
|
Action |
|
Yes |
No |
|
|
|
|
|
|
|
|
|
High |
77.915 |
77.985 |
77.290 |
78.995 |
80.255 |
81.520 |
82.715 |
83.060 |
87.925 |
87.875 |
|
|
Low |
76.865 |
75.720 |
75.045 |
75.070 |
76.850 |
79.960 |
80.130 |
80.510 |
82.410 |
86.595 |
|
|
Close/Last |
77.420 |
76.800 |
75.670 |
78.565 |
80.255 |
81.035 |
81.585 |
82.265 |
86.922 |
87.085 |
|
|
|
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