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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, 2010
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 23 23 23 24 24 24 24 24 24 24 24
Closed Higher 14 10 10 8 13 12 13 9 9 8 11
Exceeded High 11 8 9 7 11 11 8 5 9 6 6
Scenario Percentage 79% 80% 90% 88% 85% 92% 62% 56% 100% 75% 55%
Avg Max Increase 2.88% 2.58% 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 18 16 19 19 10 14 14 20 18 14 6
Avg Max Decline -1.26% -0.33% -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 11 12 8 6 6 4 9 4 3 2
2009 Contract Condition Yes Yes       Yes          
Action Yes Yes       No          
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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 23 23 23 24 24 24 24 24 24 24 24
Closed Lower 9 13 13 16 11 12 11 15 15 16 13
Penetrated Low 7 9 12 11 10 11 10 14 14 13 10
Scenario Percentage 78% 69% 92% 69% 91% 92% 91% 93% 93% 81% 77%
Avg Max Decline 4.17% 3.52% 3.75% 3.89% 3.34% 3.48% 3.05% 3.96% 3.94% 3.47% 4.16%
Max Decline 6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 5.67% 19.07%
Avg Days To Max Decline 18 23 17 14 18 18 16 17 21 12 13
Avg Max Increase -0.93% -1.18% -0.99% -0.31% -0.73% -0.34% -1.20% -0.65% -1.08% -0.57% -0.53%
Max Increase -2.59% -4.94% -2.95% -1.44% -2.66% -1.50% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase 6 10 7 5 4 5 13 5 11 6 3
2009 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes
Action     Yes Yes Yes   Yes Yes Yes Yes Not Yet
High 88.225 89.400 90.170 87.710 85.450 82.340 81.440 79.920 79.290 77.720 77.500
Low 83.600 86.000 83.545 84.925 80.055 79.220 78.615 77.835 76.045 75.085 74.270
Close/Last 87.510 89.150 86.790 85.505 80.210 80.785 78.770 78.520 76.860 76.475 74.935

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