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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 26 26 26 26 26 26 26 27 27 27
Closed Higher   15 17 20 17 13 16 14 12 10 14 12
Exceeded High   14 17 18 13 12 16 9 10 7 11 8
Scenario Percentage   93% 100% 90% 76% 92% 100% 64% 83% 70% 79% 67%
Avg Max Increase   0.86% 0.86% 0.73% 0.71% 0.84% 0.52% 0.46% 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   16 17 15 18 16 17 15 17 20 13 8
Avg Max Decline   -0.09% -0.17% -0.14% -0.07% -0.12% -0.19% -0.11% -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 8 7 4 6 7 6 5 6 3 1
2008 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes    
Action   Yes Yes Yes   Yes   Yes Yes No    
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 26 26 26 26 26 26 26 27 27 27
Closed Lower   11 9 6 9 12 10 11 14 17 12 15
Penetrated Low   7 4 4 7 6 8 9 14 11 8 10
Scenario Percentage   64% 44% 67% 78% 50% 80% 82% 100% 65% 67% 67%
Avg Max Decline   0.46% 0.75% 0.71% 0.50% 0.40% 0.50% 0.50% 0.48% 0.46% 0.35% 0.12%
Max Decline   1.21% 1.83% 1.05% 1.31% 0.76% 1.39% 1.85% 1.26% 1.27% 1.07% 0.35%
Avg Days To Max Decline   17 11 18 15 16 17 18 19 17 13 8
Avg Max Increase   -0.17% -0.09% -0.13% -0.06% -0.10% -0.10% -0.10% -0.13% -0.08% -0.04% -0.05%
Max Increase   -0.51% -0.13% -0.23% -0.20% -0.19% -0.30% -0.29% -0.80% -0.26% -0.11% -0.29%
Avg Days to Max Increase   9 2 11 4 3 10 4 7 7 4 3
2008 Contract Condition         Yes   Yes       Yes Yes
Action         No   No       Not Yet Yes
High 94.900 95.190 95.660 95.825 95.890 96.400 96.360 97.790 97.670 98.255 97.740 97.445
Low 94.535 94.655 95.055 95.415 95.295 95.560 95.870 96.230 97.260 97.460 96.985 97.165
Close/Last 94.825 95.145 95.445 95.625 95.620 96.270 96.255 97.510 97.640 97.730 97.325 97.297

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