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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, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Higher   13 13 18 15 17 19 18 12 15 13 12
Exceeded High   12 12 14 13 17 18 13 10 14 9 7
Scenario Percentage   92% 92% 78% 87% 100% 95% 72% 83% 93% 69% 58%
Avg Max Increase   0.87% 0.77% 0.78% 0.85% 0.85% 0.65% 0.65% 0.88% 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 14 17 15 13 18 19 14 12 9
Avg Max Decline   -0.07% -0.13% -0.11% -0.08% -0.17% -0.15% -0.08% -0.16% -0.15% -0.07% -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 8 5 8 7 9 6 3
2008 Contract Condition       Yes Yes Yes Yes Yes Yes   Yes Yes
Action       Yes Yes Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Lower   12 13 8 11 8 7 7 13 10 13 14
Penetrated Low   11 9 3 7 4 4 5 8 7 10 10
Scenario Percentage   92% 69% 38% 64% 50% 57% 71% 62% 70% 77% 71%
Avg Max Decline   0.72% 0.33% 0.34% 0.44% 0.77% 0.64% 0.51% 0.32% 0.38% 0.24% 0.14%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.28%
Avg Days To Max Decline   16 12 10 17 14 17 18 18 19 10 9
Avg Max Increase   -0.05% -0.19% -0.16% -0.18% -0.14% -0.11% -0.10% -0.06% -0.06% -0.06% -0.03%
Max Increase   -0.17% -0.64% -0.19% -0.50% -0.37% -0.17% -0.18% -0.14% -0.24% -0.23% -0.10%
Avg Days to Max Increase   4 5 11 9 6 8 4 3 9 5 1
2008 Contract Condition   Yes Yes             Yes    
Action   Yes Yes             No    
High 95.415 95.295 95.210 94.860 95.100 95.655 95.730 95.735 95.940 95.885 97.250 97.205
Low 95.155 95.020 94.755 94.550 94.645 95.000 95.325 95.165 95.455 95.490 95.750 96.935
Close/Last 95.275 95.185 94.785 94.790 95.060 95.360 95.480 95.505 95.830 95.765 97.095 97.190

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