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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Dec 30, 2011
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   28 29 29 29 29 29 29 29 29 29 29
Closed Higher   14 14 20 18 20 21 21 14 18 15 14
Exceeded High   13 13 16 16 20 20 15 12 17 11 8
Scenario Percentage   93% 93% 80% 89% 100% 95% 71% 86% 94% 73% 57%
Avg Max Increase   0.83% 0.73% 0.74% 0.78% 0.79% 0.61% 0.66% 0.84% 0.38% 0.21% 0.15%
Max Increase   2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.65% 0.44%
Avg Days To Max Increase   17 20 15 18 16 13 19 19 15 11 7
Avg Max Decline   -0.07% -0.17% -0.11% -0.10% -0.20% -0.14% -0.08% -0.15% -0.13% -0.06% -0.03%
Max Decline   -0.24% -0.75% -0.51% -0.29% -0.96% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline   6 7 8 8 8 5 7 7 8 5 2
2011 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes   Yes Yes Yes Yes No   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   28 29 29 29 29 29 29 29 29 29 29
Closed Lower   14 15 9 11 8 8 7 14 10 14 15
Penetrated Low   13 10 3 7 4 4 5 9 7 11 11
Scenario Percentage   93% 67% 33% 64% 50% 50% 71% 64% 70% 79% 73%
Avg Max Decline   0.73% 0.36% 0.34% 0.44% 0.77% 0.64% 0.51% 0.29% 0.38% 0.23% 0.13%
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   15 12 10 17 14 17 18 16 19 9 6
Avg Max Increase   -0.09% -0.20% -0.16% -0.18% -0.14% -0.11% -0.10% -0.06% -0.06% -0.07% -0.03%
Max Increase   -0.43% -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   5 5 11 9 6 8 4 3 9 5 1
2011 Contract Condition     Yes           Yes      
Action     No           Yes      
High 98.900 99.015 99.040 99.185 99.505 99.590 99.600 99.650 99.645 99.640 99.665 99.688
Low 98.675 98.640 98.730 98.830 99.130 99.440 99.435 99.555 99.395 99.380 99.590 99.645
Close/Last 98.820 98.900 98.875 99.160 99.490 99.525 99.590 99.635 99.425 99.635 99.655 99.685

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