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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 24 25 25 25 25 25 25 25 25 25 25
Closed Higher 13 13 17 14 16 18 17 11 15 12 12
Exceeded High 12 12 13 12 16 17 12 9 14 8 7
Scenario Percentage 92% 92% 76% 86% 100% 94% 71% 82% 93% 67% 58%
Avg Max Increase 0.87% 0.77% 0.78% 0.87% 0.88% 0.66% 0.67% 0.81% 0.44% 0.28% 0.20%
Max Increase 2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.79% 0.58%
Avg Days To Max Increase 16 20 13 18 15 12 17 19 14 12 9
Avg Max Decline -0.07% -0.13% -0.11% -0.08% -0.17% -0.14% -0.09% -0.14% -0.15% -0.05% -0.04%
Max Decline -0.24% -0.63% -0.51% -0.23% -0.60% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline 5 7 7 6 6 5 9 6 9 6 3
2007 Contract Condition       Yes Yes Yes   Yes     Yes
Action       Yes Yes Yes   Yes     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 24 25 25 25 25 25 25 25 25 25 25
Closed Lower 11 12 8 11 8 7 7 13 9 13 13
Penetrated Low 10 8 3 7 4 4 5 8 7 10 12
Scenario Percentage 91% 67% 38% 64% 50% 57% 71% 62% 78% 77% 92%
Avg Max Decline 0.73% 0.33% 0.34% 0.44% 0.77% 0.64% 0.51% 0.32% 0.38% 0.24% 1.83%
Max Decline 2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 6.11%
Avg Days To Max Decline 16 12 10 17 14 17 18 18 19 10 16
Avg Max Increase -0.05% -0.22% -0.16% -0.18% -0.14% -0.11% -0.10% -0.06% -0.06% -0.06% -0.14%
Max Increase -0.17% -0.64% -0.19% -0.50% -0.37% -0.17% -0.18% -0.14% -0.24% -0.23% -0.57%
Avg Days to Max Increase 4 6 11 9 6 8 4 3 9 5 -117
2007 Contract Condition Yes Yes Yes       Yes   Yes Yes  
Action Yes Yes No       No   Yes Not Yet  
High 94.880 94.790 94.770 94.650 94.790 94.900 94.930 94.855 94.920 94.715 94.760
Low 94.630 94.585 94.305 94.305 94.530 94.630 94.615 94.670 94.670 94.620 94.625
Close/Last 94.790 94.610 94.440 94.640 94.785 94.825 94.780 94.810 94.680 94.630 94.662

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