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