MRCI's ScenarioSM Study

ScenarioSM Study for June Eurodollars(CME) as of Jan 01, 2013
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		30	30	30	30	30	30	30	30	31	31	31
Closed Higher		19	21	23	21	15	18	17	14	13	16	14
Exceeded High		18	20	21	16	14	18	12	12	9	13	9
Scenario Percentage		95%	95%	91%	76%	93%	100%	71%	86%	69%	81%	64%
Avg Max Increase		0.77%	0.81%	0.72%	0.68%	0.82%	0.49%	0.36%	0.34%	0.61%	0.48%	0.19%
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	12	16	19	13	9
Avg Max Decline		-0.11%	-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		8	8	6	4	7	7	8	5	5	2	1
2012 Contract Condition		Yes	Yes		Yes			Yes	Yes
Action		Yes	No		No			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		30	30	30	30	30	30	30	30	31	31	31
Closed Lower		11	9	7	9	14	12	12	16	18	14	16
Penetrated Low		7	4	5	7	6	8	10	15	12	9	10
Scenario Percentage		64%	44%	71%	78%	43%	67%	83%	94%	67%	64%	63%
Avg Max Decline		0.46%	0.75%	0.63%	0.50%	0.40%	0.50%	0.48%	0.47%	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	20	15	16	17	17	19	16	12	8
Avg Max Increase		-0.17%	-0.09%	-0.11%	-0.06%	-0.10%	-0.10%	-0.11%	-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	15	4	3	10	5	7	7	4	3
2012 Contract Condition				Yes		Yes	Yes			Yes	Yes
Action				Yes		No	No			Yes	Not Yet
High	99.460	99.450	99.640	99.555	99.455	99.450	99.395	99.550	99.590	99.595	99.535	99.530
Low	99.295	99.335	99.420	99.400	99.290	99.120	99.215	99.275	99.470	99.495	99.480	99.483
Close/Last	99.385	99.430	99.515	99.410	99.445	99.360	99.295	99.540	99.550	99.530	99.525	99.525