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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 30, 2011
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   25 25 25 26 26 26 26 26 26 26 26
Closed Higher   15 11 11 9 15 12 13 11 10 8 13
Exceeded High   12 9 10 8 13 11 8 6 10 6 7
Scenario Percentage   80% 82% 91% 89% 87% 92% 62% 55% 100% 75% 54%
Avg Max Increase   2.92% 2.57% 3.91% 3.75% 2.58% 2.82% 3.50% 5.61% 4.24% 2.95% 1.18%
Max Increase   6.39% 5.08% 7.42% 8.00% 8.36% 6.64% 9.61% 13.53% 12.46% 4.08% 2.91%
Avg Days To Max Increase   19 17 19 18 10 14 14 17 17 14 7
Avg Max Decline   -1.19% -0.41% -0.83% -0.73% -0.90% -0.34% -0.53% -0.96% -0.63% -0.87% -0.36%
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 8 3 3 2
2011 Contract Condition           Yes     Yes Yes   Yes
Action           Yes     Yes Yes   Yes
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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   25 25 25 26 26 26 26 26 26 26 26
Closed Lower   10 14 14 17 11 14 13 15 16 18 13
Penetrated Low   8 10 13 11 10 13 12 14 15 14 10
Scenario Percentage   80% 71% 93% 65% 91% 93% 92% 93% 94% 78% 77%
Avg Max Decline   4.05% 3.68% 3.75% 3.89% 3.34% 3.59% 2.95% 3.96% 3.99% 3.47% 1.64%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 3.00%
Avg Days To Max Decline   18 24 18 14 18 18 19 17 19 12 10
Avg Max Increase   -0.95% -1.11% -0.92% -0.31% -0.73% -0.45% -1.37% -0.65% -1.02% -0.55% -0.46%
Max Increase   -2.59% -4.94% -2.95% -1.44% -2.66% -3.08% -3.33% -2.41% -3.06% -1.55% -1.85%
Avg Days to Max Increase   7 10 7 5 4 5 13 5 10 5 2
2011 Contract Condition   Yes Yes Yes Yes   Yes Yes     Yes  
Action   Yes Yes Yes No   Yes Yes     Not Yet  
High 82.230 82.420 79.767 78.338 76.930 77.250 76.885 77.420 76.000 79.645 80.430 79.875
Low 80.422 78.800 77.955 76.442 73.998 74.025 74.362 73.980 73.900 74.550 74.860 76.595
Close/Last 80.422 78.945 77.955 76.888 73.998 75.695 75.105 74.455 74.493 79.075 76.305 78.490

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