MRCI Online
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| ScenarioSM Study for June Eurodollars(CME) as of Jan 01, 2008 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | |||||||||||
| Tested Month | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
| Tested Years | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 25 | 26 | 26 | 26 |
| Closed Higher | 14 | 16 | 19 | 17 | 12 | 16 | 13 | 12 | 9 | 14 | 12 |
| Exceeded High | 13 | 16 | 17 | 13 | 11 | 16 | 8 | 10 | 7 | 11 | 8 |
| Scenario Percentage | 93% | 100% | 89% | 76% | 92% | 100% | 62% | 83% | 78% | 79% | 67% |
| Avg Max Increase | 0.87% | 0.88% | 0.72% | 0.71% | 0.78% | 0.52% | 0.42% | 0.40% | 0.69% | 0.52% | 0.21% |
| Max Increase | 2.01% | 3.61% | 2.75% | 1.62% | 1.91% | 1.11% | 0.85% | 1.41% | 2.24% | 1.69% | 0.40% |
| Avg Days To Max Increase | 17 | 17 | 15 | 18 | 15 | 17 | 15 | 17 | 20 | 13 | 8 |
| Avg Max Decline | -0.09% | -0.17% | -0.12% | -0.07% | -0.09% | -0.19% | -0.10% | -0.12% | -0.12% | -0.10% | -0.02% |
| Max Decline | -0.29% | -0.55% | -0.55% | -0.27% | -0.47% | -0.76% | -0.27% | -0.43% | -0.30% | -0.64% | -0.15% |
| Avg Days to Max Decline | 7 | 6 | 6 | 4 | 5 | 7 | 4 | 5 | 6 | 3 | 1 |
| 2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | Yes | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
