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