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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, 2013
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   26 26 26 27 27 27 27 27 27 27 27
Closed Higher   15 11 12 9 16 12 14 11 10 8 14
Exceeded High   12 9 11 8 14 11 8 6 10 6 7
Scenario Percentage   80% 82% 92% 89% 88% 92% 57% 55% 100% 75% 50%
Avg Max Increase   2.92% 2.57% 4.01% 3.75% 2.46% 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 20 18 11 14 14 17 17 14 7
Avg Max Decline   -1.19% -0.41% -0.82% -0.73% -1.02% -0.34% -0.53% -0.96% -0.63% -0.87% -0.36%
Max Decline   -2.60% -1.06% -2.76% -1.59% -2.61% -0.91% -1.43% -2.47% -2.13% -2.19% -1.05%
Avg Days to Max Decline   7 11 14 8 7 6 4 8 3 3 2
2012 Contract Condition       Yes   Yes   Yes       Yes
Action       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   26 26 26 27 27 27 27 27 27 27 27
Closed Lower   11 15 14 18 11 15 13 16 17 19 13
Penetrated Low   9 11 13 11 10 14 12 15 15 14 10
Scenario Percentage   82% 73% 93% 61% 91% 93% 92% 94% 88% 74% 77%
Avg Max Decline   3.78% 3.35% 3.75% 3.89% 3.34% 3.40% 2.95% 3.93% 3.99% 3.46% 1.63%
Max Decline   6.90% 6.29% 7.76% 8.27% 7.61% 7.14% 5.00% 9.15% 7.85% 6.04% 2.82%
Avg Days To Max Decline   19 24 18 14 18 19 19 16 19 11 9
Avg Max Increase   -0.88% -1.30% -0.92% -0.31% -0.73% -0.63% -1.37% -0.64% -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   8 10 7 5 4 7 13 5 10 5 2
2012 Contract Condition   Yes Yes   Yes   Yes   Yes Yes Yes  
Action   Yes Yes   No   Yes   Yes No Not Yet  
High 82.610 83.485 80.957 81.900 81.097 83.935 83.752 84.610 83.945 81.950 80.425 81.515
Low 81.835 80.170 79.385 79.930 79.360 79.705 81.745 82.135 81.300 78.725 78.970 79.925
Close/Last 82.222 80.688 79.890 79.957 79.653 83.935 82.133 83.030 81.530 80.025 79.987 80.163

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