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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Eurodollars(CME) as of Dec 31, 2010
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   28 28 28 28 28 28 28 28 29 29 29
Closed Higher   17 19 22 19 15 17 15 13 11 15 13
Exceeded High   16 19 20 15 14 17 10 11 8 12 8
Scenario Percentage   94% 100% 91% 79% 93% 100% 67% 85% 73% 80% 62%
Avg Max Increase   0.85% 0.84% 0.75% 0.73% 0.82% 0.51% 0.42% 0.36% 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   17 17 16 19 16 17 13 16 20 13 8
Avg Max Decline   -0.12% -0.23% -0.12% -0.07% -0.12% -0.18% -0.11% -0.11% -0.12% -0.09% -0.02%
Max Decline   -0.40% -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 8 7 4 7 7 7 4 5 2 1
2010 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes      
Action   Yes Yes 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 28 28 28 28 28 28 28 29 29 29
Closed Lower   11 9 6 9 12 11 12 15 18 13 16
Penetrated Low   7 4 4 7 6 8 10 15 12 9 9
Scenario Percentage   64% 44% 67% 78% 50% 73% 83% 100% 67% 69% 56%
Avg Max Decline   0.46% 0.75% 0.71% 0.50% 0.40% 0.50% 0.48% 0.47% 0.46% 0.34% 0.11%
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 17 19 16 12 7
Avg Max Increase   -0.17% -0.09% -0.13% -0.06% -0.10% -0.10% -0.11% -0.13% -0.08% -0.04% -0.06%
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 5 7 7 4 3
2010 Contract Condition             Yes     Yes Yes Yes
Action             No     Yes Yes Not Yet
High 98.670 98.840 98.915 99.105 99.205 99.535 99.510 99.615 99.655 99.670 99.650 99.550
Low 97.770 98.435 98.235 98.865 99.000 99.165 99.290 99.300 99.540 99.565 99.505 99.170
Close/Last 98.455 98.630 98.905 99.030 99.205 99.475 99.320 99.595 99.650 99.630 99.530 99.400

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