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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Eurodollars(CME) as of May 31, 2010
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   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 10
Scenario Percentage   78% 100% 100% 64% 93% 80% 81% 92% 76% 100% 56%
Avg Max Increase   0.81% 0.81% 0.62% 0.54% 0.45% 0.66% 0.74% 0.50% 0.47% 0.45% 0.20%
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 8 6
Avg Max Decline   -0.08% -0.12% -0.17% -0.13% -0.29% -0.14% -0.09% -0.06% -0.07% -0.05% -0.03%
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
2010 Contract Condition   Yes Yes   Yes Yes       Yes    
Action   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 Sep 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 6 2
Scenario Percentage   100% 62% 100% 85% 100% 61% 100% 73% 29% 75% 22%
Avg Max Decline   0.52% 0.39% 0.52% 0.55% 0.60% 0.73% 0.57% 0.31% 0.19% 0.19% 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 19 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% -0.06% -0.04%
Max Increase   -0.22% -0.27% -0.29% -0.39% -0.30% -0.31% -0.14% -0.64% -0.07% -0.14% -0.08%
Avg Days to Max Increase   3 3 9 6 6 6 5 6 13 2 4
2010 Contract Condition       Yes     Yes Yes Yes      
Action       No     Yes Yes Not Yet      
High 98.775 98.855 99.285 99.270 99.375 99.495 99.515 99.550 99.410 99.210    
Low 98.445 98.605 98.780 98.860 98.870 99.280 99.370 99.360 98.865 99.100    
Close/Last 98.635 98.850 99.230 98.900 99.355 99.485 99.465 99.390 99.155 99.190    

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