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