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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, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 27 27 27 27 27 28 28 28 28 28 28
Closed Higher 18 14 18 14 14 10 16 13 21 20 18
Exceeded High 14 14 18 9 13 8 13 12 16 20 11
Scenario Percentage 78% 100% 100% 64% 93% 80% 81% 92% 76% 100% 61%
Avg Max Increase 0.81% 0.81% 0.62% 0.54% 0.45% 0.66% 0.74% 0.50% 0.47% 0.45% 0.22%
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 19 17 18 14 18 17 16 20 17 7 6
Avg Max Decline -0.08% -0.12% -0.17% -0.13% -0.29% -0.14% -0.09% -0.06% -0.07% -0.05% -0.02%
Max Decline -0.45% -0.41% -0.67% -0.33% -1.06% -0.34% -0.55% -0.28% -0.27% -0.17% -0.10%
Avg Days to Max Decline 7 8 6 6 10 7 2 3 9 3 1
2009 Contract Condition Yes Yes Yes     Yes Yes Yes Yes Yes Yes
Action 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 27 27 27 27 27 28 28 28 28 28 28
Closed Lower 7 13 8 13 13 18 11 15 7 8 9
Penetrated Low 7 8 8 11 13 11 11 11 2 7 7
Scenario Percentage 100% 62% 100% 85% 100% 61% 100% 73% 29% 88% 78%
Avg Max Decline 0.52% 0.39% 0.52% 0.55% 0.60% 0.73% 0.57% 0.31% 0.19% 0.18% 1.58%
Max Decline 1.27% 0.66% 1.38% 1.93% 1.71% 2.14% 1.82% 0.72% 0.21% 0.38% 5.05%
Avg Days To Max Decline 14 11 15 19 18 18 17 15 11 10 10
Avg Max Increase -0.05% -0.10% -0.09% -0.14% -0.11% -0.11% -0.05% -0.14% -0.06% -0.12% -0.06%
Max Increase -0.22% -0.27% -0.29% -0.39% -0.30% -0.31% -0.14% -0.64% -0.07% -0.48% -0.16%
Avg Days to Max Increase 3 3 9 6 6 6 5 6 13 5 -99
2009 Contract Condition       Yes Yes            
Action       Yes Yes            
High 97.895 98.180 98.835 99.075 98.800 98.920 99.015 99.420 99.355 99.510 99.678
Low 96.880 97.350 97.875 98.550 98.560 98.365 98.780 98.965 98.985 99.320 99.475
Close/Last 97.385 98.035 98.745 98.635 98.625 98.905 99.005 99.265 99.330 99.505 99.668

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