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