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