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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, 2013
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   25 25 27 27 27 27 27 27 27 27 27
Closed Higher   9 13 12 15 11 13 9 16 12 14 11
Exceeded High   7 9 10 12 10 12 8 14 11 9 6
Scenario Percentage   78% 69% 83% 80% 91% 92% 89% 88% 92% 64% 55%
Avg Max Increase   2.61% 3.13% 3.29% 2.88% 3.55% 4.04% 3.99% 2.68% 2.92% 3.09% 2.88%
Max Increase   5.41% 6.14% 8.79% 6.46% 11.65% 7.77% 8.45% 8.42% 6.58% 9.50% 5.01%
Avg Days To Max Increase   18 18 14 20 20 21 19 11 11 12 13
Avg Max Decline   -0.43% -0.84% -0.86% -1.29% -0.39% -1.10% -0.80% -1.16% -0.51% -0.68% -0.60%
Max Decline   -1.29% -2.09% -3.13% -2.62% -1.12% -3.11% -1.58% -2.56% -1.20% -1.51% -1.50%
Avg Days to Max Decline   9 13 5 8 13 14 7 7 6 4 4
2012 Contract Condition     Yes Yes     Yes   Yes   Yes  
Action     Yes Yes     Yes   Yes   Not Yet  
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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   25 25 27 27 27 27 27 27 27 27 27
Closed Lower   16 12 15 12 16 14 18 11 15 13 16
Penetrated Low   11 9 11 10 11 13 12 9 14 12 12
Scenario Percentage   69% 75% 73% 83% 69% 93% 67% 82% 93% 92% 75%
Avg Max Decline   3.90% 4.09% 3.01% 3.72% 3.76% 3.98% 3.72% 3.75% 3.48% 2.27% 2.37%
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   21 17 15 18 22 15 12 19 17 10 9
Avg Max Increase   -0.21% -0.59% -0.85% -0.80% -1.16% -1.05% -0.47% -0.92% -0.91% -1.10% -0.21%
Max Increase   -1.30% -1.90% -2.49% -2.47% -5.25% -3.06% -1.72% -2.64% -3.40% -3.11% -1.21%
Avg Days to Max Increase   5 4 6 7 9 7 3 5 6 6 2
2012 Contract Condition   Yes     Yes Yes   Yes   Yes   Yes
Action   No     Yes No   No   Yes   Yes
High 80.455 81.485 81.180 82.290 82.885 80.558 81.440 80.705 83.650 84.000 84.245 83.610
Low 78.918 76.325 78.085 79.713 79.770 79.005 79.275 79.025 79.025 81.390 81.655 80.960
Close/Last 80.455 77.645 79.740 81.623 80.258 79.510 79.528 79.222 83.525 81.752 82.710 81.215

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