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