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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 22 22 23 23 23 23 23 23 23 23
Closed Higher   13 9 10 8 13 11 13 9 9 8 11
Exceeded High   10 7 9 7 11 11 8 5 9 6 6
Scenario Percentage   77% 78% 90% 88% 85% 100% 62% 56% 100% 75% 55%
Avg Max Increase   2.86% 2.78% 3.52% 3.14% 2.66% 2.82% 3.50% 5.14% 4.52% 2.95% 0.89%
Max Increase   6.39% 5.08% 6.68% 7.15% 8.36% 6.64% 9.61% 13.53% 12.46% 4.08% 1.63%
Avg Days To Max Increase   20 18 19 19 10 14 14 20 18 14 6
Avg Max Decline   -1.22% -0.46% -0.78% -0.91% -0.90% -0.34% -0.53% -1.17% -0.73% -0.87% -0.33%
Max Decline   -2.60% -1.05% -2.76% -1.59% -2.17% -0.91% -1.43% -2.47% -2.13% -2.19% -1.05%
Avg Days to Max Decline   8 12 12 8 6 6 4 9 4 3 2
2008 Contract Condition         Yes Yes   Yes Yes Yes Yes Yes
Action         Yes Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 22 22 23 23 23 23 23 23 23 23
Closed Lower   9 13 12 15 10 12 10 14 14 15 12
Penetrated Low   7 9 11 10 9 11 9 13 13 12 10
Scenario Percentage   78% 69% 92% 67% 90% 92% 90% 93% 93% 80% 83%
Avg Max Decline   4.17% 3.52% 3.39% 3.55% 3.49% 3.48% 3.01% 3.93% 3.98% 3.55% 1.59%
Max Decline   6.90% 6.29% 6.77% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 2.82%
Avg Days To Max Decline   18 23 16 15 17 18 16 16 20 11 7
Avg Max Increase   -0.93% -1.18% -0.98% -0.35% -0.51% -0.34% -1.17% -0.63% -1.08% -0.51% -0.46%
Max Increase   -2.59% -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 10 6 5 4 5 13 6 11 6 2
2008 Contract Condition   Yes Yes Yes     Yes          
Action   Yes Yes No     Yes          
High 78.070 77.530 78.130 74.655 73.970 74.490 75.040 74.135 78.150 80.900 88.495 89.250
Low 76.515 76.010 74.675 72.150 72.200 72.770 72.995 72.080 73.810 76.025 79.045 84.455
Close/Last 76.980 76.155 74.710 73.050 73.520 73.740 73.220 73.810 77.950 79.360 86.345 86.705

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