|
 |
| 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 |
|
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
