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