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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, 2010
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 27 27 27 27 27 27 27 27 28 28 28
Closed Higher 16 18 21 18 14 17 14 12 11 15 13
Exceeded High 15 18 19 14 13 17 9 10 8 12 8
Scenario Percentage 94% 100% 90% 78% 93% 100% 64% 83% 73% 80% 62%
Avg Max Increase 0.87% 0.87% 0.76% 0.76% 0.87% 0.51% 0.46% 0.40% 0.68% 0.51% 0.20%
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 16 19 16 17 15 17 20 13 8
Avg Max Decline -0.10% -0.24% -0.13% -0.07% -0.12% -0.18% -0.11% -0.12% -0.12% -0.09% -0.02%
Max Decline -0.29% -1.49% -0.55% -0.27% -0.47% -0.76% -0.27% -0.43% -0.30% -0.64% -0.15%
Avg Days to Max Decline 7 9 6 4 6 7 6 5 5 2 1
2009 Contract Condition Yes Yes Yes Yes Yes Yes     Yes Yes Yes
Action Yes Yes Yes Yes Yes Yes     Yes Yes Not Yet
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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 27 27 27 27 27 27 27 27 28 28 28
Closed Lower 11 9 6 9 12 10 12 15 17 12 15
Penetrated Low 7 4 4 7 6 8 10 15 11 8 14
Scenario Percentage 64% 44% 67% 78% 50% 80% 83% 100% 65% 67% 93%
Avg Max Decline 0.46% 0.75% 0.71% 0.50% 0.40% 0.50% 0.48% 0.47% 0.46% 0.35% 2.50%
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 17 19 17 13 11
Avg Max Increase -0.17% -0.09% -0.13% -0.06% -0.10% -0.10% -0.11% -0.13% -0.08% -0.04% -0.11%
Max Increase -0.51% -0.13% -0.23% -0.20% -0.19% -0.30% -0.29% -0.80% -0.26% -0.11% -0.53%
Avg Days to Max Increase 9 2 11 4 3 10 5 7 7 4 5
2009 Contract Condition             Yes Yes      
Action             Yes Yes      
High 96.980 97.035 97.785 97.950 98.245 98.940 99.210 98.910 98.915 99.065 99.442
Low 96.290 96.565 95.475 96.975 97.550 97.955 98.705 98.630 98.415 98.840 99.030
Close/Last 96.740 96.915 96.960 97.580 98.075 98.870 98.735 98.695 98.900 99.055 99.340

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