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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 26 26 26 26 27 27 27 27 27 27
Closed Higher   17 13 17 14 14 9 15 12 20 19 17
Exceeded High   13 13 17 9 13 7 12 11 15 19 10
Scenario Percentage   76% 100% 100% 64% 93% 78% 80% 92% 75% 100% 59%
Avg Max Increase   0.76% 0.79% 0.64% 0.54% 0.45% 0.68% 0.77% 0.52% 0.48% 0.47% 0.23%
Max Increase   1.59% 1.86% 1.45% 0.99% 1.50% 2.38% 2.39% 1.00% 1.69% 3.82% 0.66%
Avg Days To Max Increase   18 18 19 14 18 16 16 20 16 7 6
Avg Max Decline   -0.08% -0.11% -0.17% -0.13% -0.29% -0.14% -0.09% -0.04% -0.07% -0.05% -0.02%
Max Decline   -0.45% -0.41% -0.67% -0.33% -1.06% -0.34% -0.55% -0.13% -0.27% -0.17% -0.10%
Avg Days to Max Decline   7 8 7 6 10 5 2 2 9 3 1
2008 Contract Condition     Yes Yes Yes Yes Yes       Yes  
Action     Yes Yes Yes Yes No       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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 26 26 26 26 27 27 27 27 27 27
Closed Lower   7 13 8 12 12 18 11 15 7 8 9
Penetrated Low   7 8 8 10 12 11 11 11 2 7 2
Scenario Percentage   100% 62% 100% 83% 100% 61% 100% 73% 29% 88% 22%
Avg Max Decline   0.52% 0.39% 0.52% 0.57% 0.63% 0.73% 0.57% 0.31% 0.19% 0.18% 0.15%
Max Decline   1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 0.19%
Avg Days To Max Decline   14 11 15 20 18 18 17 15 11 10 6
Avg Max Increase   -0.05% -0.10% -0.09% -0.14% -0.11% -0.11% -0.05% -0.14% -0.06% -0.12% -0.04%
Max Increase   -0.22% -0.27% -0.29% -0.39% -0.30% -0.31% -0.14% -0.64% -0.07% -0.48% -0.08%
Avg Days to Max Increase   3 3 9 6 6 6 5 6 13 5 4
2008 Contract Condition               Yes Yes Yes   Yes
Action               Yes Yes No   Not Yet
High 95.825 95.980 96.620 96.615 97.905 97.815 98.335 97.925 97.445 97.265 97.215 97.200
Low 95.415 95.355 95.625 96.100 96.480 97.355 97.600 96.955 97.040 96.605 97.015 97.130
Close/Last 95.690 95.690 96.495 96.510 97.555 97.785 97.905 97.310 97.160 97.070 97.190 97.178

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