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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, 2010
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 26 27 27 27 27 27 27 27 27 27 27
Closed Higher 13 13 19 16 18 19 19 13 16 13 12
Exceeded High 12 12 15 14 18 18 14 11 15 9 7
Scenario Percentage 92% 92% 79% 88% 100% 95% 74% 85% 94% 69% 58%
Avg Max Increase 0.87% 0.77% 0.76% 0.85% 0.85% 0.65% 0.69% 0.90% 0.42% 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 16 13 19 18 14 12 9
Avg Max Decline -0.07% -0.13% -0.11% -0.08% -0.21% -0.15% -0.08% -0.16% -0.15% -0.07% -0.04%
Max Decline -0.24% -0.63% -0.51% -0.23% -0.96% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline 5 7 8 6 8 5 8 7 8 6 3
2009 Contract Condition     Yes Yes Yes   Yes Yes Yes    
Action     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 26 27 27 27 27 27 27 27 27 27 27
Closed Lower 13 14 8 11 8 8 7 13 10 14 15
Penetrated Low 12 10 3 7 4 4 5 8 7 11 14
Scenario Percentage 92% 71% 38% 64% 50% 50% 71% 62% 70% 79% 93%
Avg Max Decline 0.75% 0.36% 0.34% 0.44% 0.77% 0.64% 0.51% 0.32% 0.38% 0.24% 2.00%
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 17
Avg Max Increase -0.06% -0.20% -0.16% -0.18% -0.14% -0.11% -0.10% -0.06% -0.06% -0.07% -0.14%
Max Increase -0.20% -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 5 11 9 6 8 4 3 9 5 -99
2009 Contract Condition Yes Yes       Yes       Yes Yes
Action Yes Yes       No       Yes Yes
High 97.860 97.185 96.955 97.100 97.135 97.760 97.975 98.295 98.990 99.215 98.925
Low 96.665 96.495 96.020 96.540 96.775 96.110 97.045 97.750 97.965 98.740 98.640
Close/Last 96.995 96.675 96.680 96.915 97.040 97.035 97.780 98.080 98.940 98.755 98.712

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