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