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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 30, 2011
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   29 29 29 29 29 29 29 29 30 30 30
Closed Higher   18 20 23 20 15 18 16 14 12 16 14
Exceeded High   17 20 21 16 14 18 11 12 9 13 9
Scenario Percentage   94% 100% 91% 80% 93% 100% 69% 86% 75% 81% 64%
Avg Max Increase   0.81% 0.81% 0.72% 0.68% 0.82% 0.49% 0.39% 0.34% 0.61% 0.47% 0.18%
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 16 17 13 16 19 13 8
Avg Max Decline   -0.12% -0.23% -0.12% -0.06% -0.12% -0.18% -0.10% -0.11% -0.10% -0.08% -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   9 8 6 4 7 7 7 5 5 2 1
2011 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes Yes Yes
Action   Yes Yes Yes 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   29 29 29 29 29 29 29 29 30 30 30
Closed Lower   11 9 6 9 13 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% 46% 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% 0.10%
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 6
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
2011 Contract Condition           Yes            
Action           No            
High 99.090 99.390 99.490 99.525 99.605 99.610 99.565 99.600 99.640 99.655 99.720 99.740
Low 98.625 99.000 99.330 99.305 99.475 99.310 99.315 99.460 99.550 99.595 99.620 99.705
Close/Last 99.060 99.375 99.440 99.515 99.600 99.355 99.560 99.575 99.635 99.640 99.705 99.737

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