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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December US Dollar Index(ICE) as of Jan 01, 2007
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 20 20 20 21 21 21 21 21 21 21 21
Closed Higher 12 9 10 7 11 11 12 7 8 7 10
Exceeded High 10 7 9 6 9 11 7 4 8 5 6
Scenario Percentage 83% 78% 90% 86% 82% 100% 58% 57% 100% 71% 60%
Avg Max Increase 2.86% 2.78% 3.52% 3.32% 2.93% 2.82% 2.62% 3.04% 3.53% 2.87% 0.89%
Max Increase 6.39% 5.08% 6.68% 7.15% 8.36% 6.64% 6.82% 5.86% 10.71% 4.08% 1.63%
Avg Days To Max Increase 20 18 19 20 10 14 15 18 18 13 6
Avg Max Decline -1.22% -0.46% -0.78% -0.89% -0.97% -0.34% -0.61% -0.84% -0.78% -0.61% -0.33%
Max Decline -2.60% -1.05% -2.76% -1.59% -2.17% -0.91% -1.43% -1.52% -2.13% -1.13% -1.05%
Avg Days to Max Decline 8 12 12 6 7 6 5 6 4 3 2
2006 Contract Condition   Yes       Yes Yes   Yes    
Action   Yes       Yes No   Yes    
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 20 20 20 21 21 21 21 21 21 21 21
Closed Lower 8 11 10 14 10 10 9 14 13 14 11
Penetrated Low 6 7 10 10 9 9 8 13 12 11 10
Scenario Percentage 75% 64% 100% 71% 90% 90% 89% 93% 92% 79% 91%
Avg Max Decline 3.99% 3.72% 3.56% 3.55% 3.49% 3.84% 2.94% 3.93% 4.00% 3.68% 4.22%
Max Decline 6.90% 6.29% 6.77% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 19.07%
Avg Days To Max Decline 18 24 15 15 17 18 14 16 20 11 15
Avg Max Increase -0.66% -1.40% -1.05% -0.35% -0.51% -0.36% -1.11% -0.63% -1.05% -0.51% -0.60%
Max Increase -1.32% -4.94% -2.95% -1.44% -1.28% -1.50% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase 6 11 7 5 4 5 12 6 12 6 4
2006 Contract Condition Yes   Yes Yes Yes     Yes   Yes Yes
Action No   Yes Yes Yes     No   Yes Yes
High 88.710 89.740 89.780 89.250 85.250 86.130 86.640 85.160 85.940 87.080 85.770
Low 86.880 88.180 87.840 85.190 83.140 83.100 84.150 83.850 84.480 84.980 82.700
Close/Last 87.920 88.980 88.700 85.190 84.000 84.530 84.720 84.660 85.680 85.110 82.850

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