MRCI's ScenarioSM Study

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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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low 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 Lower	11	9	6	8	12	9	11	13	17	11	14
Penetrated Low	7	4	4	7	6	8	9	13	11	8	13
Scenario Percentage	64%	44%	67%	88%	50%	89%	82%	100%	65%	73%	93%
Avg Max Decline	0.46%	0.75%	0.71%	0.50%	0.40%	0.50%	0.50%	0.48%	0.46%	0.35%	2.46%
Max Decline	1.21%	1.83%	1.05%	1.31%	0.76%	1.39%	1.85%	1.26%	1.27%	1.07%	8.35%
Avg Days To Max Decline	17	11	18	15	16	17	18	20	17	13	10
Avg Max Increase	-0.17%	-0.09%	-0.13%	-0.06%	-0.10%	-0.10%	-0.10%	-0.08%	-0.08%	-0.04%	-0.12%
Max Increase	-0.51%	-0.13%	-0.23%	-0.20%	-0.19%	-0.30%	-0.29%	-0.25%	-0.26%	-0.11%	-0.53%
Avg Days to Max Increase	9	2	11	4	3	10	4	6	7	4	5
2007 Contract Condition				Yes		Yes	Yes		Yes	Yes	Yes
Action				No		Yes	No		Yes	Yes	Yes
High	94.760	94.930	95.080	95.150	95.040	95.225	94.920	94.910	94.945	94.740	94.685
Low	94.360	94.640	94.720	94.715	94.780	94.755	94.630	94.635	94.715	94.655	94.638
Close/Last	94.750	94.925	94.985	94.950	95.025	94.770	94.655	94.810	94.735	94.675	94.640