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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 Dec 31, 2010
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   24 24 24 25 25 25 25 25 25 25 25
Closed Higher   15 11 11 9 14 12 13 10 9 8 12
Exceeded High   12 9 10 8 12 11 8 5 9 6 6
Scenario Percentage   80% 82% 91% 89% 86% 92% 62% 50% 100% 75% 50%
Avg Max Increase   2.92% 2.57% 3.91% 3.75% 2.61% 2.82% 3.50% 5.14% 4.52% 2.95% 0.88%
Max Increase   6.39% 5.08% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 4.08% 1.63%
Avg Days To Max Increase   19 17 19 18 10 14 14 20 18 14 5
Avg Max Decline   -1.19% -0.41% -0.83% -0.73% -0.83% -0.34% -0.53% -1.17% -0.73% -0.87% -0.33%
Max Decline   -2.60% -1.06% -2.76% -1.59% -2.17% -0.91% -1.43% -2.47% -2.13% -2.19% -1.05%
Avg Days to Max Decline   7 11 12 8 6 6 4 9 4 3 2
2010 Contract Condition   Yes Yes Yes Yes Yes     Yes     Yes
Action   Yes Yes Yes Yes Yes     No     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   24 24 24 25 25 25 25 25 25 25 25
Closed Lower   9 13 13 16 11 13 12 15 16 17 13
Penetrated Low   7 9 12 11 10 12 11 14 15 14 10
Scenario Percentage   78% 69% 92% 69% 91% 92% 92% 93% 94% 82% 77%
Avg Max Decline   4.17% 3.52% 3.75% 3.89% 3.34% 3.75% 3.15% 3.96% 3.99% 3.36% 1.46%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 5.67% 2.82%
Avg Days To Max Decline   18 23 17 14 18 17 18 17 19 11 7
Avg Max Increase   -0.93% -1.18% -0.99% -0.31% -0.73% -0.23% -1.31% -0.65% -1.02% -0.55% -0.46%
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 14 5 10 5 2
2010 Contract Condition             Yes Yes   Yes Yes  
Action             Yes Yes   Yes Yes  
High 78.995 80.255 81.520 82.965 83.065 87.905 89.115 85.750 83.960 83.530 79.015 81.525
Low 77.690 77.185 79.960 80.180 80.820 82.915 85.730 81.970 80.745 78.620 75.850 75.235
Close/Last 78.565 80.255 81.035 81.835 82.515 87.323 86.615 81.970 83.595 78.938 77.457 81.270

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