|
 |
| 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 |
|
|
|
|
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
