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