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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 Apr 30, 2011
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   23 23 25 25 25 25 25 25 25 25 25
Closed Higher   9 11 11 15 11 12 9 14 12 13 10
Exceeded High   7 8 9 12 10 11 8 12 11 9 5
Scenario Percentage   78% 73% 82% 80% 91% 92% 89% 86% 92% 69% 50%
Avg Max Increase   2.61% 3.02% 3.49% 2.88% 3.55% 3.94% 3.99% 2.83% 2.92% 3.12% 2.50%
Max Increase   5.41% 6.14% 8.79% 6.46% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 3.74%
Avg Days To Max Increase   18 19 14 20 20 20 19 10 11 13 14
Avg Max Decline   -0.43% -0.94% -0.87% -1.29% -0.39% -1.14% -0.80% -1.00% -0.51% -0.68% -0.73%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -1.98% -1.20% -1.51% -1.50%
Avg Days to Max Decline   9 14 6 8 13 12 7 6 6 4 5
2011 Contract Condition     Yes           Yes      
Action     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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 23 25 25 25 25 25 25 25 25 25
Closed Lower   14 12 14 10 14 13 16 11 13 12 15
Penetrated Low   10 9 10 8 10 12 11 9 12 11 13
Scenario Percentage   71% 75% 71% 80% 71% 92% 69% 82% 92% 92% 87%
Avg Max Decline   4.10% 4.09% 3.00% 4.04% 3.60% 3.97% 4.03% 3.75% 3.85% 2.57% 2.30%
Max Decline   9.09% 7.55% 7.67% 6.83% 6.82% 7.71% 8.54% 8.15% 7.14% 5.15% 4.13%
Avg Days To Max Decline   22 17 14 17 21 16 13 19 15 8 10
Avg Max Increase   -0.23% -0.59% -0.68% -0.83% -1.23% -1.06% -0.47% -0.92% -0.52% -1.00% -0.39%
Max Increase   -1.30% -1.90% -1.40% -2.47% -5.25% -3.06% -1.72% -2.64% -1.67% -3.11% -2.29%
Avg Days to Max Increase   5 4 5 5 9 7 3 5 5 6 2
2011 Contract Condition   Yes   Yes Yes Yes Yes Yes        
Action   Yes   Yes Yes Yes Yes Yes        
High 82.308 79.433 82.350 81.870 82.060 79.407 77.978 77.250 73.860      
Low 79.645 77.665 76.835 80.005 78.565 77.595 75.955 73.500 73.325      
Close/Last 79.688 78.313 82.155 80.063 78.585 77.595 76.528 73.532 73.560      

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