MRCI Online
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| 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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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
